EconStor >
Humboldt-Universität zu 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/10419/39286
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorHärdle, Wolfgang Karlen_US
dc.contributor.authorOkhrin, Ostapen_US
dc.contributor.authorOkhrin, Yaremaen_US
dc.date.accessioned2010-04-16en_US
dc.date.accessioned2010-08-26T11:56:27Z-
dc.date.available2010-08-26T11:56:27Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/39286-
dc.description.abstractThere is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical Archimedean copulae (HAC) that allow for non-exchangeable and non-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation technique of the parameters and of the structure of HAC for time-series. The approach relies on a local change point detection procedure and a locally constant HAC approximation. Typical applications are in the financial area but also recently in the spatial analysis of weather parameters. We analyse the time varying dependency structure of stock indices and exchange rates. We find that for stock indices the copula parameter changes dynam- ically but the hierarchical structure is constant over time. Interestingly in our exchange rate example both structure and parameters vary dynamically.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2010,018en_US
dc.subject.jelC13en_US
dc.subject.jelC14en_US
dc.subject.jelC50en_US
dc.subject.ddc330en_US
dc.subject.keywordcopulaen_US
dc.subject.keywordmultivariate distributionen_US
dc.subject.keywordArchimedean copulaen_US
dc.subject.keywordadaptive estimationen_US
dc.subject.stwKopula (Mathematik)en_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwStatistische Verteilungen_US
dc.subject.stwSchätztheorieen_US
dc.subject.stwTheorieen_US
dc.subject.stwSchätzungen_US
dc.subject.stwAktienindexen_US
dc.subject.stwWechselkursen_US
dc.subject.stwWelten_US
dc.titleTime varying hierarchical archimedean copulaeen_US
dc.typeWorking Paperen_US
dc.identifier.ppn623857200en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

Files in This Item:
File Description SizeFormat
623857200.pdf1.48 MBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.