메뉴 건너뛰기




Volumn 19, Issue 3, 2008, Pages 251-269

Fitting copulas to bivariate earthquake data: The seismic gap hypothesis revisited

Author keywords

Archimax; Archimedean; Bootstrap; Extreme value; Kendall's tau; Model averaging; Seismic gap hypothesis; Tail dependence

Indexed keywords

BOOTSTRAPPING; EARTHQUAKE INTENSITY; GEOPHYSICAL METHOD; MODELING; SEISMICITY;

EID: 42549107445     PISSN: 11804009     EISSN: 1099095X     Source Type: Journal    
DOI: 10.1002/env.869     Document Type: Article
Times cited : (29)

References (38)
  • 3
    • 2942525652 scopus 로고    scopus 로고
    • Modelling credit default swap spreads by means of normal mixtures and copulas
    • Bee M. 2004. Modelling credit default swap spreads by means of normal mixtures and copulas. Applied Mathematical Finance 11: 125-146.
    • (2004) Applied Mathematical Finance , vol.11 , pp. 125-146
    • Bee, M.1
  • 4
    • 0346125288 scopus 로고    scopus 로고
    • Dependence structures for multivariate high-frequency data in finance
    • Breymann W, Dias A, Embrechts P. 2003. Dependence structures for multivariate high-frequency data in finance. Quantitative Finance 3: 1-14.
    • (2003) Quantitative Finance , vol.3 , pp. 1-14
    • Breymann, W.1    Dias, A.2    Embrechts, P.3
  • 5
  • 6
    • 33750020382 scopus 로고    scopus 로고
    • Modelling the differences in counted outcomes using bivariate copula models with application to mismeasured counts
    • Cameron AC, Li T, Trivedi PK, Zimmer DM. 2004. Modelling the differences in counted outcomes using bivariate copula models with application to mismeasured counts. The Econometrics Journal 7: 566-584.
    • (2004) The Econometrics Journal , vol.7 , pp. 566-584
    • Cameron, A.C.1    Li, T.2    Trivedi, P.K.3    Zimmer, D.M.4
  • 9
    • 27744551283 scopus 로고    scopus 로고
    • Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
    • Chen X, Fan Y. 2005. Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection. The Canadian Journal of Statistics 33: 389-414.
    • (2005) The Canadian Journal of Statistics , vol.33 , pp. 389-414
    • Chen, X.1    Fan, Y.2
  • 11
    • 0002276308 scopus 로고
    • Assessment and propagation of model uncertainty (with discussion)
    • Draper D. 1995. Assessment and propagation of model uncertainty (with discussion). Journal of the Royal Statistical Society, Series B 57: 45-97.
    • (1995) Journal of the Royal Statistical Society, Series B , vol.57 , pp. 45-97
    • Draper, D.1
  • 16
    • 0005879905 scopus 로고    scopus 로고
    • Copulas and credit models
    • Frey R, McNeil AJ, Nyfeler M. 2001. Copulas and credit models. RISK 14: 111-114.
    • (2001) RISK , vol.14 , pp. 111-114
    • Frey, R.1    McNeil, A.J.2    Nyfeler, M.3
  • 17
    • 66149152931 scopus 로고
    • Frank's family of bivariate distributions
    • Genest C. 1987. Frank's family of bivariate distributions. Biometrika 74: 549-555.
    • (1987) Biometrika , vol.74 , pp. 549-555
    • Genest, C.1
  • 18
    • 34347377353 scopus 로고    scopus 로고
    • Everything you always wanted to know about copula modeling but were afraid to ask
    • Genest C, Favre A-C. 2007. Everything you always wanted to know about copula modeling but were afraid to ask. Journal of Hydrologic Engineering 12: 347-368.
    • (2007) Journal of Hydrologic Engineering , vol.12 , pp. 347-368
    • Genest, C.1    Favre, A.-C.2
  • 19
    • 33646533039 scopus 로고
    • A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
    • Genest C, Ghoudi K, Rivest L-P. 1995. A semiparametric estimation procedure of dependence parameters in multivariate families of distributions. Biometrika 82: 543-552.
    • (1995) Biometrika , vol.82 , pp. 543-552
    • Genest, C.1    Ghoudi, K.2    Rivest, L.-P.3
  • 20
    • 85011141497 scopus 로고    scopus 로고
    • Genest C, Ghoudi K, Rivest L-P. 1998. Comment on the paper of E. W. Frees and E. A. Valdez entitled 'Understanding relationships using copulas'. North American Actuarial Journal 2: 143-149.
    • Genest C, Ghoudi K, Rivest L-P. 1998. Comment on the paper of E. W. Frees and E. A. Valdez entitled 'Understanding relationships using copulas'. North American Actuarial Journal 2: 143-149.
  • 21
    • 84988077149 scopus 로고
    • Copules archimédiennes et familles de lois bidimensionnelles dont les marges sont données.
    • Genest C, MacKay RJ. 1986. Copules archimédiennes et familles de lois bidimensionnelles dont les marges sont données. The Canadian Journal of Statistics 14: 145-159.
    • (1986) The Canadian Journal of Statistics , vol.14 , pp. 145-159
    • Genest, C.1    MacKay, R.J.2
  • 22
    • 33745096550 scopus 로고    scopus 로고
    • Dependence patterns across financial markets: A mixed copula approach
    • Hu L. 2006. Dependence patterns across financial markets: a mixed copula approach. Applied Financial Economics 16: 717-729.
    • (2006) Applied Financial Economics , vol.16 , pp. 717-729
    • Hu, L.1
  • 25
    • 18644380797 scopus 로고    scopus 로고
    • Asymptotic efficiency of the two-stage estimation method for copula-based models
    • Joe H. 2005. Asymptotic efficiency of the two-stage estimation method for copula-based models. Journal of Multivariate Analysis 94: 401-419.
    • (2005) Journal of Multivariate Analysis , vol.94 , pp. 401-419
    • Joe, H.1
  • 28
    • 0037110521 scopus 로고    scopus 로고
    • A copula-based model for multivariate non-normal longitudinal data: Analysis of a dose titration safety study on a new antidepressant
    • Lambert P, Vandenhende F. 2002. A copula-based model for multivariate non-normal longitudinal data: analysis of a dose titration safety study on a new antidepressant. Statistics in Medicine 21: 3197-3217.
    • (2002) Statistics in Medicine , vol.21 , pp. 3197-3217
    • Lambert, P.1    Vandenhende, F.2
  • 29
    • 34250270562 scopus 로고
    • Seismic gaps and plate tectonics: Seismic potential for major boundaries
    • McCann W, Nishenko S, Sykes L, Krause J. 1979. Seismic gaps and plate tectonics: seismic potential for major boundaries. Pure and Applied Geophysics 117: 1082-1147.
    • (1979) Pure and Applied Geophysics , vol.117 , pp. 1082-1147
    • McCann, W.1    Nishenko, S.2    Sykes, L.3    Krause, J.4
  • 31
    • 0001503306 scopus 로고
    • Semiparametric inference in a model for association in bivariate survival data
    • Oakes D. 1986. Semiparametric inference in a model for association in bivariate survival data. Biometrika 73: 353-361.
    • (1986) Biometrika , vol.73 , pp. 353-361
    • Oakes, D.1
  • 32
    • 0012346731 scopus 로고
    • Statistical models for earthquake occurences and residual analysis for point processes
    • Ogata Y. 1988. Statistical models for earthquake occurences and residual analysis for point processes. Journal of the American Statistical Association 83: 9-27.
    • (1988) Journal of the American Statistical Association , vol.83 , pp. 9-27
    • Ogata, Y.1
  • 33
    • 0036576115 scopus 로고    scopus 로고
    • Tail dependence for elliptically contoured distributions
    • Schmidt R. 2002. Tail dependence for elliptically contoured distributions. Mathematical Methods of Operations Recearch 55: 301-327.
    • (2002) Mathematical Methods of Operations Recearch , vol.55 , pp. 301-327
    • Schmidt, R.1
  • 34
    • 0029597951 scopus 로고
    • Inferences on the association parameter in copula models for bivariate survival data
    • Shih JH, Louis TA. 1995. Inferences on the association parameter in copula models for bivariate survival data. Biometrics 51: 1384-1399.
    • (1995) Biometrics , vol.51 , pp. 1384-1399
    • Shih, J.H.1    Louis, T.A.2
  • 35
    • 0000795592 scopus 로고
    • Fonctions de répartition à n dimensions et leurs marges
    • université de Paris
    • Sklar M. 1959. Fonctions de répartition à n dimensions et leurs marges. Publication de l'Institut de statistique de l'université de Paris 8: 229-231.
    • (1959) Publication de l'Institut de statistique de l , vol.8 , pp. 229-231
    • Sklar, M.1
  • 36
    • 0001423124 scopus 로고
    • Bivariate extreme value theory: Models and estimation
    • Tawn JA. 1988. Bivariate extreme value theory: models and estimation. Biometrika 75: 397-415.
    • (1988) Biometrika , vol.75 , pp. 397-415
    • Tawn, J.A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.