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year = {2009}
}
@Article{sklar1959,
author = {Sklar, A.},
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volume = {8},
year = {1959}
}
@Article{hofert2008,
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volume = {52},
year = {2008}
}
@Article{scarsini1984,
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year = {1984}
}
@Article{hofert2011a,
author = {Hofert, M.},
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pages = {57--70},
title = {Efficiently Sampling Nested {A}rchimedean Copulas},
volume = {55},
number = {},
urldate = {2010-05-11},
year = {2011}
}
@Book{hofert2010c,
author = {Hofert, M.},
title = {Sampling Nested {A}rchimedean Copulas with Applications to
CDO Pricing},
year = {2010},
note = {PhD thesis},
isbn = {978-3-8381-1656-3},
publisher = {{S{\"u}dwestdeutscher Verlag f{\"u}r Hochschulschriften AG
\& Co.\ KG}}
}
@Manual{r,
title = {\proglang{R}: A Language and Environment for Statistical
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author = {\proglang{R} Development Core Team},
organization = {\proglang{R} Foundation for Statistical Computing},
address = {Vienna, Austria},
year = 2010,
note = {{ISBN} 3-900051-07-0},
url = {http://www.R-project.org/},
urldate = {2010-07-21}
}
@Book{nolan2009,
author = {Nolan, J. P.},
publisher = {Birkh{\"a}user},
title = {Stable Distributions -- {M}odels for Heavy Tailed Data},
note = {Chapter~1 online at \url{http://academic2.american.edu/~jpnolan/stable/chap1.pdf}},
urldate = {2009-12-30},
year = {2011}
}
@Article{chambersmallowsstuck1976,
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}
@Book{nelsen2007,
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publisher = {Springer-Verlag},
address = {New York},
title = {An Introduction to Copulas},
year = {2007}
}
@Article{mcneilneslehova2009,
author = {McNeil, A. J. and Ne{\v{s}}lehov{\'a}, J.},
journal = {The Annals of Statistics},
title = {Multivariate {A}rchimedean Copulas, $d$-monotone Functions
and $l_{1}$-norm Symmetric Distributions},
pages = {3059--3097},
volume = {37},
number = {5b},
year = {2009}
}
@Article{mcneil2008,
author = {McNeil, A. J.},
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pages = {567--581},
title = {Sampling Nested {A}rchimedean Copulas},
volume = {78},
series = {6},
year = {2008}
}
@Article{kemp1981,
author = {Kemp, A. W.},
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number = {3},
year = {1981}
}
@Article{marshallolkin1988,
author = {Marshall, A. W. and Olkin, I.},
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series = {403},
year = {1988}
}
@Article{kimberling1974,
author = {Kimberling, C. H.},
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year = {1974}
}
@Book{joe1997,
author = {Joe, H.},
publisher = {Chapman {\&} Hall/CRC},
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year = {1997}
}
@Book{feller1971,
author = {Feller, W.},
publisher = {John Wiley \& Sons},
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}
@misc{embrechtslindskogmcneil2001,
author={Embrechts, P. and Lindskog, F. and McNeil, A. J.},
title={{Modelling Dependence with Copulas and Applications to Risk Management}},
year={2001},
url={http://www.risklab.ch/ftp/papers/DependenceWithCopulas.pdf},
urldate={2009-12-30}}
%% Achim Zeileis, editor of JSS, replaced the above with this one:
@InCollection{embrechtslindskogmcneil2003,
author = {Embrechts, P. and Lindskog, F. and McNeil, A. J.},
title = {Modelling Dependence with Copulas and Applications to
Risk Management},
booktitle = {Handbook of Heavy Tailed Distributions in Finance},
year = 2003,
publisher = {North-Holland},
isbn = {0-444-50896-1},
editor = {S. Rachev},
pages = {329--384}
}
@Article{copula1,
title = {Enjoy the Joy of Copulas: With a Package \pkg{copula}},
author = {Jun Yan},
journal = {Journal of Statistical Software},
year = 2007,
volume = 21,
number = 4,
pages = {1--21},
url = {http://www.jstatsoft.org/v21/i04/},
}
@Article{copula2,
title = {Modeling Multivariate Distributions with Continuous
Margins Using the \pkg{copula} \proglang{R} Package},
author = {Ivan Kojadinovic and Jun Yan},
journal = {Journal of Statistical Software},
year = 2010,
volume = 34,
number = 9,
pages = {1--20},
url = {http://www.jstatsoft.org/v34/i09/},
}
@Manual{fCopulae,
title = {\pkg{fCopulae}: Dependence Structures with Copulas},
author = {Diethelm Wuertz and others},
year = 2009,
note = {\proglang{R}~package version~2110.78},
url = {http://CRAN.R-project.org/package=fCopulae},
}
@Book{lattice,
author = {Sarkar, D.},
title = {\pkg{lattice}: Multivariate Data Visualization with \proglang{R}},
publisher = {Springer-Verlag},
year = {2008},
address = {New York},
}
@article{Hofert:Maechler:2010:JSSOBK:v39i09,
author = "Marius Hofert and Martin Maechler",
title = "Nested Archimedean Copulas Meet R: The nacopula Package",
journal = "Journal of Statistical Software",
volume = 39,
number = 9,
pages = "1--20",
day = 9,
month = 3,
year = 2011,
CODEN = "JSSOBK",
ISSN = "1548-7660",
bibdate = "2010-11-15",
URL = "http://www.jstatsoft.org/v39/i09",
accepted = "2010-11-15",
submitted = "2010-07-01",
}
