Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC) : theory and empirical tests
Year of publication: |
August 2016
|
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Authors: | Zhu, Wenjun ; Wang, Chou-Wen ; Tan, Ken Seng |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 69.2016, p. 20-36
|
Subject: | High dimensional modeling | Hierarchical Archimedean copulas | Lévy subordinators | Downside risk | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Schätzung | Estimation |
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