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Efficiently sampling nested Archimedean copulas

2010112 citationsJournal Article

Authors

Marius Hofert · ETH Zurich

Topics & Keywords

Bayesian Methods and Mixture Models Financial Risk and Volatility Modeling Stochastic processes and financial applications

Publication Details

Published in: Computational Statistics & Data Analysis

Volume 55, Issue 1, pp. 57-70

DOI: 10.1016/j.csda.2010.04.025

Field-Weighted Citation Impact: 9.85

Efficiently sampling nested Archimedean copulas | Researchclopedia