Multivariate Hierarchical Copulas with Shocks

Methodology and Computing in Applied Probability

Volumn 12, Issue 4, 2010, Pages 681-694

  Durante, Fabrizio ^a   Hofert, Marius ^b   Scherer, Matthias ^c  

^a JOHANNES KEPLER UNIVERSITY LINZ   (Austria)

^b UNIVERSITY OF ULM   (Germany)

^c TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

Copula; Hierarchical structure; Marshall Olkin distribution; Shock model; Singular component

Indexed keywords

EID: 77957311621     PISSN: 13875841     EISSN: 15737713     Source Type: Journal    
DOI: 10.1007/s11009-009-9134-6     Document Type: Article

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