Hierarchical Archimedean Copulae: The HAC Package

Ostap Okhrin · Alexander Ristig

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Data Analysis with R

Abstract

This paper presents the R package HAC, which provides user friendly methods for dealing with hierarchical Archimedean copulae (HAC). Computationally efficient estimation procedures allow to recover the structure and the parameters of HAC from data. In addition, arbitrary HAC can be constructed to sample random vectors and to compute the values of the corresponding cumulative distribution plus density functions. Accurate graphics of the HAC structure can be produced by the plot method implemented for these objects.

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References

1999An Introduction to Copulas 2004Copula Methods in Finance 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2007Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask 2007Goodness-of-fit tests for copulas: A review and a power study 2000On Default Correlation 1993Statistical Inference Procedures for Bivariate Archimedean Copulas 1996Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters

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