Hierarchies of Archimedean copulas

被引：111
|
作者：
Savu, Cornelia [1 ,2 ]
Trede, Mark [2 ]
机构：
[1] Univ Munster, Inst Econometr, Munster, Germany
[2] Univ Munster, Ctr Nonlinear Sci, Munster, Germany
来源：
QUANTITATIVE FINANCE | 2010年 / 10卷 / 03期
关键词：
Copulas; Portfolio management; Risk management; Insurance mathematics; GOODNESS-OF-FIT; PARAMETRIC FAMILIES;
D O I：
10.1080/14697680902821733
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：295 / 304
页数：10
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