On the structure and estimation of hierarchical Archimedean copulas
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Publication:528182
DOI10.1016/J.JECONOM.2012.12.001zbMATH Open1443.62137OpenAlexW1978267962MaRDI QIDQ528182FDOQ528182
Ostap Okhrin, Yarema Okhrin, Wolfgang Schmid
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612002667
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Applications of statistics to economics (62P20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12)
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- Testing for structural breaks in factor copula models
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- Properties of hierarchical Archimedean copulas
- Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
- On structure, family and parameter estimation of hierarchical Archimedean copulas
- Hierarchical Archimedean copulas through multivariate compound distributions
- Hierarchical Kendall copulas: Properties and inference
- New perspectives on knockoffs construction
- Estimating Archimedean copulas in high dimensions
- Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
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- Vulnerability-CoVaR: investigating the crypto-market
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