Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/39286 
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dc.contributor.authorHärdle, Wolfgang Karlen
dc.contributor.authorOkhrin, Ostapen
dc.contributor.authorOkhrin, Yaremaen
dc.date.accessioned2010-04-16-
dc.date.accessioned2010-08-26T11:56:27Z-
dc.date.available2010-08-26T11:56:27Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2010,018en
dc.subject.jelC13en
dc.subject.jelC14en
dc.subject.jelC50en
dc.subject.ddc330en
dc.subject.keywordcopulaen
dc.subject.keywordmultivariate distributionen
dc.subject.keywordArchimedean copulaen
dc.subject.keywordadaptive estimationen
dc.subject.stwKopula (Mathematik)en
dc.subject.stwZeitreihenanalyseen
dc.subject.stwStatistische Verteilungen
dc.subject.stwSchätztheorieen
dc.subject.stwTheorieen
dc.subject.stwSchätzungen
dc.subject.stwAktienindexen
dc.subject.stwWechselkursen
dc.subject.stwWelten
dc.titleTime varying hierarchical archimedean copulae-
dc.type|aWorking Paperen
dc.identifier.ppn623857200en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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