Time varying Hierarchical Archimedean Copulae
Year of publication: |
2010-02
|
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Authors: | Härdle, Wolfgang Karl ; Okhrin, Ostap ; Okhrin, Yarema |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | copula | multivariate distribution | Archimedean copula | adaptive estimation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number SFB649DP2010-018 32 pages |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C50 - Econometric Modeling. General |
Source: |
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Time varying hierarchical archimedean copulae
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