On the structure and estimation of hierarchical Archimedean copulas

Journal of Econometrics

Volumn 173, Issue 2, 2013, Pages 189-204

  Okhrin, Ostap ^a   Okhrin, Yarema ^b   Schmid, Wolfgang ^c  

^a HUMBOLDT UNIVERSITY   (Germany)

^b UNIVERSITY OF AUGSBURG   (Germany)

^c EUROPEAN UNIVERSITY VIADRINA   (Germany)

Author keywords

Asymptotic theory; Density estimation; Hierarchical Archimedean copula; Multivariate distribution

Indexed keywords

ASYMPTOTIC ANALYSIS; ESTIMATION;

ARCHIMEDEAN COPULA; ASYMPTOTIC THEORIES; COMPUTATIONALLY EFFICIENT; DENSITY ESTIMATION; HIERARCHICAL ESTIMATION; MARGINAL DISTRIBUTION; MULTIVARIATE DISTRIBUTIONS; NON-PARAMETRIC ESTIMATIONS; SIMULATION STUDIES; STRUCTURE SELECTION;

STATISTICS;

EID: 84873406220     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.12.001     Document Type: Article

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