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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Durante, F.; Hofert, M.; Scherer, M. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
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 
Zeitschriftentitel:
Methodology and Computing in Applied Probability 
Jahr:
2010 
Band / Volume:
12 
Heft / Issue:
Seitenangaben Beitrag:
681-894 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein