Hierarchical Archimedean Copulae: The HAC Package
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References listed on IDEAS
- Cornelia Savu & Mark Trede, 2010. "Hierarchies of Archimedean copulas," Quantitative Finance, Taylor & Francis Journals, vol. 10(3), pages 295-304.
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- Okhrin, Ostap & Ristig, Alexander, 2014. "Hierarchical Archimedean Copulae: The HAC Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 58(i04).
- Segers, Johan & Uyttendaele, Nathan, 2014. "Nonparametric estimation of the tree structure of a nested Archimedean copula," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 190-204.
- Tente, Natalia & von Westernhagen, Natalja & Slopek, Ulf, 2017. "M-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements," Discussion Papers 15/2017, Deutsche Bundesbank.
- ARAUJO ENCISO Sergio Rene & PIERALLI SIMONE & PEREZ DOMINGUEZ Ignacio, 2017. "Partial Stochastic Analysis with the Aglink-Cosimo Model: A Methodological Overview," JRC Working Papers JRC108837, Joint Research Centre (Seville site).
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- Ostap Okhrin & Alexander Ristig & Jeffrey Sheen & Stefan Trück, 2015. "Conditional Systemic Risk with Penalized Copula," SFB 649 Discussion Papers SFB649DP2015-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Targino, Rodrigo S. & Peters, Gareth W. & Shevchenko, Pavel V., 2015.
"Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models,"
Insurance: Mathematics and Economics,
Elsevier, vol. 61(C), pages 206-226.
- Rodrigo S. Targino & Gareth W. Peters & Pavel V. Shevchenko, 2014. "Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models," Papers 1410.1101, arXiv.org, revised Feb 2015.
- Penikas, Henry, 2014. "Investment portfolio risk modelling based on hierarchical copulas," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 35(3), pages 18-38.
- Feng, Xiaoguang & Hayes, Dermot, 2014. "Is Government Involvement Really Necessary: Implications for Systemic Risk and Crop Reinsurance Contracts," 2014 AAEA: Crop Insurance and the 2014 Farm Bill Symposium: Implementing Change in U.S. Agricultural Policy, October 8-9, Louisville, KY 184241, Agricultural and Applied Economics Association.
More about this item
Keywordscopula; R; hierarchical Archimedean copula (HAC);
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-29 (All new papers)
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