Distorted Copula-Based Probability Distribution of a Counting Hierarchical Variable: A Credit Risk Application
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References listed on IDEAS
- Okhrin, Ostap & Okhrin, Yarema & Schmid, Wolfgang, 2013. "On the structure and estimation of hierarchical Archimedean copulas," Journal of Econometrics, Elsevier, vol. 173(2), pages 189-204.
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More about this item
KeywordsDistorted copula; random matrix; copula volume; hierarchical Archimedean copula; probability distribution of counting variable;
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