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Hierarchies of Archimedean copulas. (English) Zbl 1270.91086

Summary: We present a flexible class of hierarchical copulas capable of modelling multidimensional joint distributions of asset returns with a richer rank correlation structure than existing models. We derive estimators and simulation techniques. The methods are applied to an illustrative portfolio consisting of a subset of DAX stocks.

MSC:

91G10 Portfolio theory
91B30 Risk theory, insurance (MSC2010)
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