Hierarchies of Archimedean copulas
Savu Cornelia, Trede Mark
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.
Keywords
Copulas Portfolio management Risk management Insurance mathematics goodness-of-fit parametric families
Publication type
Research article (journal)
Peer reviewed
Yes
Publication status
Published
Year
2010
Journal
Quantitative Finance
Volume
10
Issue
3
Start page
295
End page
304
Language
English
ISSN
1469-7688
DOI