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On the structure and estimation of hierarchical Archimedean copulas

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...

Persistent link: https://www.econbiz.de/10010617151

The oil price-macroeconomy dependence

Serletis, Apostolos; Xu, Libo - In: Empirical economics : a quarterly journal of the … 65 (2023) 6, pp. 2501-2520

Persistent link: https://www.econbiz.de/10014388954

Rank-based multivariate Sarmanov for modeling dependence between loss reserves

Abdallah, Anas; Wang, Lan - In: Risks : open access journal 11 (2023) 11, pp. 1-37

the dependence between lines of business. An inadequate choice of the dependence structure may negatively impact the … robust estimation, and better captures the dependence between the risks. We also show that it generates smaller risk capital …

Persistent link: https://www.econbiz.de/10014435614

Copula modelling to analyse financial data

Dewick, Paul R.; Liu, Shuangzhe - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-11

Copula modelling is a popular tool in analysing the dependencies between variables. Copula modelling allows the investigation of tail dependencies, which is of particular interest in risk and survival applications. Copula modelling is also of specific interest to economic and financial modelling...

Persistent link: https://www.econbiz.de/10013161689