Multivariate Hierarchical Copulas with Shocks View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2009-05-16

AUTHORS

Fabrizio Durante, Marius Hofert, Matthias Scherer

ABSTRACT

A transformation to obtain new multivariate hierarchical copulas, starting with 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 arising from this construction are similarly admissible with respect to analytical tractability and sampling routines as the original copula. Finally, several well-known families of copulas may be interpreted as special cases. More... »

PAGES

681-694

References to SciGraph publications

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s11009-009-9134-6

DOI

http://dx.doi.org/10.1007/s11009-009-9134-6

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1012569752


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