Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC) : theory and empirical tests
Wenjun Zhu, Chou-Wen Wang, Ken Seng Tan
| Year of publication: |
August 2016
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|---|---|
| Authors: | Zhu, Wenjun ; Wang, Chou-Wen ; Ken Seng Tan |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 69.2016, p. 20-36
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| Subject: | High dimensional modeling | Hierarchical Archimedean copulas | Lévy subordinators | Downside risk | Multivariate Verteilung | Multivariate distribution | Schätzung | Estimation | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2016.01.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011635001