|
|||||
|
|
Hierarchies of Archimedean copulas |
|
| Authors: | Cornelia Savu Mark Trede |
| Institution: | 1. Institute of Econometrics and Center of Nonlinear Science, University of Münster , Münster, Germany cornelia.savu@rwe.com;3. Institute of Econometrics and Center of Nonlinear Science, University of Münster , Münster, Germany |
| Abstract: | 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. |
| Keywords: | Copulas Portfolio management Risk management Insurance mathematics |