4.3 Article

Hierarchies of Archimedean copulas

期刊

QUANTITATIVE FINANCE
卷 10, 期 3, 页码 295-304

出版社

ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
DOI: 10.1080/14697680902821733

关键词

Copulas; Portfolio management; Risk management; Insurance mathematics

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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.

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