SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

On the structure and estimation of hierarchical Archimedean copulas · Study

ArticleShelves

ArticleOn the structure and estimation of hierarchical Archimedean copulas

Ostap Okhrin2012

OA

Articlegreen2012

On the structure and estimation of hierarchical Archimedean copulas

Ostap Okhrin · Yarema Okhrin · Wolfgang Schmid

166 citations·0/0 files stored·Journal of Econometrics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Statistical Methods and Inference

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 166 citations exist upstream.

References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1999An Introduction to Copulas 1999Hierarchical structure in financial markets 2007Pair-copula constructions of multiple dependence 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1993Statistical Inference Procedures for Bivariate Archimedean Copulas 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions 2012Selecting and estimating regular vine copulae and application to financial returns

Cited by

2021Should investors include green bonds in their portfolios? Evidence for the USA and Europe 2009Hierarchies of Archimedean copulas 2010Modelling dependence using skew t copulas: Bayesian inference and applications 2014Hierarchical Archimedean Copulae: The HAC Package 2013Properties of hierarchical Archimedean copulas 2014Hierarchical Kendall copulas: Properties and inference

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2014Copulas in Econometricsreview · 12 shared references 2010Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructionsarticle · 11 shared references 2011Bayesian model selection for D-vine pair-copula constructionsarticle · 11 shared references 2021Copulae: An overview and recent developmentsarticle · 10 shared references 2016Pair-Copula Constructions for Financial Applications: A Reviewarticle · 9 shared references 2007Models for construction of multivariate dependencereport · 9 shared references

Details

Year2012

Typearticle

Published2012-12-19

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations166

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.jeconom.2012.12.001

openalex_workW1978267962

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2015Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas

2016Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models