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 …. Interestingly in our exchange rate example both structure and parameters vary dynamically. -- copula ; multivariate distribution …

This paper make an overview of the copula theory from a practical side. We consider different methods of copula … Gaussian copulae but also Hierarchical Archimedean Copulae. Afterwards we provide an empirical part to support the theory …. -- copula ; multivariate distribution ; Archimedean copula ; GoF …