Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang - In: Journal of Econometrics 173 (2013) 2, pp. 189-204
In this paper we provide a method for estimating multivariate distributions defined through hierarchical Archimedean copulas. In general, the true structure of the hierarchy is unknown, but we develop a computationally efficient technique to determine it from the data. For this purpose we...