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2010-02-17Buch DOI: 10.18452/4246
Time varying Hierarchical Archimedean Copulae
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorOkhrin, Ostap
dc.contributor.authorOkhrin, Yarema
dc.date.accessioned2017-06-16T00:06:47Z
dc.date.available2017-06-16T00:06:47Z
dc.date.created2010-05-27
dc.date.issued2010-02-17
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4898
dc.description.abstractThere is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical Archimedean copulae (HAC) that allow for non-exchangeable and non-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation technique of the parameters and of the structure of HAC for time-series. The approach relies on a local change point detection procedure and a locally constant HAC approximation. Typical applications are in the financial area but also recently in the spatial analysis of weather parameters. We analyse the time varying dependency structure of stock indices and exchange rates. We find that for stock indices the copula parameter changes dynam- ically but the hierarchical structure is constant over time. Interestingly in our exchange rate example both structure and parameters vary dynamically.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectcopulaeng
dc.subjectmultivariate distributioneng
dc.subjectArchimedean copulaeng
dc.subjectadaptive estimationeng
dc.subject.ddc330 Wirtschaft
dc.titleTime varying Hierarchical Archimedean Copulae
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100111310
dc.identifier.doihttp://dx.doi.org/10.18452/4246
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages32
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2010
local.edoc.container-issue18
local.edoc.container-year2010
local.edoc.container-erstkatid2195055-6

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