|
EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25330
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Okhrin, Ostap | | en_US |
| dc.contributor.author | | Okhrin, Yarema | | en_US |
| dc.contributor.author | | Schmid, Wolfgang | | en_US |
| dc.date.accessioned | | 2009-03-19 | | en_US |
| dc.date.accessioned | | 2009-07-23T15:15:22Z | | - |
| dc.date.available | | 2009-07-23T15:15:22Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/25330 | | - |
| dc.description.abstract | | In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean opulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be uniquely recovered from all bivariate margins. We derive the distribution of the copula value, which is particularly useful for tests and constructing confidence intervals. Furthermore, we analyse dependence orderings, multivariate dependence measures and extreme value copulas. Special attention we pay to the tail dependencies and derive several tail dependence indices for general hierarchical Archimedean copulas. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2009,014 | | en_US |
| dc.subject.jel | | C16 | | en_US |
| dc.subject.jel | | C46 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Copula | | en_US |
| dc.subject.keyword | | multivariate distribution | | en_US |
| dc.subject.keyword | | Archimedean copula | | en_US |
| dc.subject.keyword | | stochastic ordering | | en_US |
| dc.subject.keyword | | hierarchical copula | | en_US |
| dc.subject.stw | | Kopula (Mathematik) | | en_US |
| dc.subject.stw | | Multivariate Analyse | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Properties of hierarchical Archimedean copulas | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 594008255 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|