Savu, Cornelia; Trede, Mark Hierarchies of Archimedean copulas. (English) Zbl 1270.91086 Quant. Finance 10, No. 3, 295-304 (2010). 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. Cited in 48 Documents MSC: 91G10 Portfolio theory 91B30 Risk theory, insurance (MSC2010) Keywords:copulas; portfolio management; risk management; insurance mathematics PDFBibTeX XMLCite \textit{C. Savu} and \textit{M. Trede}, Quant. Finance 10, No. 3, 295--304 (2010; Zbl 1270.91086) Full Text: DOI