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ORCIDJournal of Multivariate Analysis, Volume 172
Volume 172, July 2019
- Johanna Neslehová, Anne-Laure Fougères, Alexander J. McNeil, Matthias Scherer:
Editorial for the Special Issue on dependence models. 1-4 - Marius Hofert
, Wayne Oldford, Avinash Prasad, Mu Zhu:
A framework for measuring association of random vectors via collapsed random variables. 5-27 - Marie-Pier Côté, Christian Genest:
Dependence in a background risk model. 28-46 - Anna Castañer, Maria Mercè Claramunt, Claude Lefèvre, Stéphane Loisel:
Partially Schur-constant models. 47-58 - Hélène Cossette, Simon-Pierre Gadoury, Etienne Marceau, Christian Y. Robert:
Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions. 59-83 - Jeffrey Näf, Marc S. Paolella, Pawel Polak:
Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition. 84-106 - Bouchra R. Nasri, Bruno N. Rémillard:
Copula-based dynamic models for multivariate time series. 107-121 - Stefan Birr, Tobias Kley, Stanislav Volgushev:
Model assessment for time series dynamics using copula spectral densities: A graphical tool. 122-146 - Pavel Krupskii, Harry Joe:
Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients. 147-161 - Elisa Perrone, Liam Solus, Caroline Uhler:
Geometry of discrete copulas. 162-179 - Thomas Nagler, C. Bumann, Claudia Czado:
Model selection in sparse high-dimensional vine copula models with an application to portfolio risk. 180-192 - Axel Gandy, Luitgard Anna Maria Veraart:
Adjustable network reconstruction with applications to CDS exposures. 193-209 - Janina Engel, Andrea Pagano, Matthias Scherer:
Reconstructing the topology of financial networks from degree distributions and reciprocity. 210-222
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