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Hierarchies of Archimedean copulas

Author

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  • Cornelia Savu
  • Mark Trede

Abstract

We 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.

Suggested Citation

  • Cornelia Savu & Mark Trede, 2010. "Hierarchies of Archimedean copulas," Quantitative Finance, Taylor & Francis Journals, vol. 10(3), pages 295-304.
  • Handle: RePEc:taf:quantf:v:10:y:2010:i:3:p:295-304
    DOI: 10.1080/14697680902821733
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