Properties of Hierarchical Archimedean Copulas
Year of publication: |
2009-03
|
---|---|
Authors: | Okhrin, Ostap ; Okhrin, Yarema ; Schmid, Wolfgang |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | copula | multivariate distribution | Archimedean copula | stochastic ordering | hierarchical copula |
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