Hierarchies of Archimedean copulas

Cornelia Savu and Mark Trede ()

Quantitative Finance, 2010, vol. 10, issue 3, 295-304

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 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (41)

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DOI: 10.1080/14697680902821733

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