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copula can be uniquely recovered from all bivariate margins. We derive the distribution of the copula values, which is …
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distributions. A promising class of models is that of hierarchical Archimedean copulae (HAC), which allows for non-exchangeable and …
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distributions. A promising class of models is that of hierarchical Archimedean copulae (HAC), which allows for non-exchangeable and …
Persistent link: https://www.econbiz.de/10011015731
Of much interest in financial econometrics is the recovery of joint distributional behaviour of collections of contemporaneous financial time series, e.g., two related commodity price series, or two asset returns series. An approach to model their joint behaviour is to use copulas. Essentially,...
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Archimedean opulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be … uniquely recovered from all bivariate margins. We derive the distribution of the copula value, which is particularly useful for …
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promising class of models are the hierarchical Archimedean copulae (HAC) that allow for non-exchangeable and non … for stock indices the copula parameter changes dynam- ically but the hierarchical structure is constant over time …
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