Hierarchies of Archimedean copulas
AbstractWe present a flexible class of hierarchical copulas capable of modelling multidimensional joint distributions of asset returns with a richer rank correlation structure than existing models. We derive estimators and simulation techniques. The methods are applied to an illustrative portfolio consisting of a subset of DAX stocks.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Quantitative Finance.
Volume (Year): 10 (2010)
Issue (Month): 3 ()
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- Fengler, Matthias & Okhrin, Ostap, 2012.
Economics Working Paper Series
1214, University of St. Gallen, School of Economics and Political Science.
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