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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/56691
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| Title: | | HMM in dynamic HAC models  |
| Authors: | | Härdle, Wolfgang Karl Okhrin, Ostap Wang, Weining |
| Issue Date: | | 2012 |
| Series/Report no.: | | SFB 649 discussion paper 2012-001 |
| Abstract: | | Understanding the dynamics of high dimensional non-normal dependency structure is a challenging task. This research aims at attacking this problem by building up a hidden Markov model (HMM) for Hierarchical Archimedean Copulae (HAC), where the HAC represent a wide class of models for high dimensional dependency, and HMM is a statistical technique to describe time varying dynamics. HMM applied to HAC provide flexible modeling for high dimensional non Gaussian time series. Consistency results for both parameters and HAC structures are established in an HMM framework. The model is calibrated to exchange rate data with a VaR application, where the model's performance is compared with other dynamic models, and in the second application we simulate rainfall process. |
| Subjects: | | Hidden Markov model Hierarchical Archimedean Copulae multivariate distribution |
| JEL: | | C13 C14 G50 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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