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Document type:
Zeitschriftenaufsatz 
Author(s):
Durante, F.; Hofert, M.; Scherer, M. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Multivariate hierarchical copulas with shocks 
Abstract:
A transformation to obtain new multivariate hierarchical copulas, starting from an arbitrary copula, is introduced. In addition to the hierarchical structure, the presented construction principle explicitly supports singular components. These may be interpreted as the effect of local or global shocks to the underlying random variables. A large spectrum of dependence patterns can be achieved by the presented transformation, which seems promising for practical applications. Moreover, copulas arisi...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Methodology and Computing in Applied Probability 
Year:
2010 
Journal volume:
12 
Journal issue:
Pages contribution:
681-894 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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