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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/10419/39301
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Okhrin, Ostap | | en_US |
| dc.date.accessioned | | 2010-04-16 | | en_US |
| dc.date.accessioned | | 2010-08-26T11:56:55Z | | - |
| dc.date.available | | 2010-08-26T11:56:55Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/39301 | | - |
| dc.description.abstract | | This paper make an overview of the copula theory from a practical side. We consider different methods of copula estimation and different Goodness-of-Fit tests for model selection. In the GoF section we apply Kolmogorov-Smirnov and Cramer-von-Mises type tests and calculate power of these tests under different assumptions. Novating in this paper is that all the procedures are done in dimensions higher than two, and in comparison to other papers we consider not only simple Archimedean and Gaussian copulae but also Hierarchical Archimedean Copulae. Afterwards we provide an empirical part to support the theory. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2010,022 | | en_US |
| dc.subject.jel | | C13 | | en_US |
| dc.subject.jel | | C14 | | en_US |
| dc.subject.jel | | C50 | | 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 | | GoF | | en_US |
| dc.subject.stw | | Kopula (Mathematik) | | en_US |
| dc.subject.stw | | Multivariate Analyse | | en_US |
| dc.subject.stw | | Zeitreihenanalyse | | en_US |
| dc.subject.stw | | Statistischer Test | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Fitting high-dimensional copulae to data | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 623857928 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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