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Showing 1 to 2 of 2 for “"hierarchical Archimedean copula"”.
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Modelling of vector MEM with hierarchical Archimedean copula
… basierend auf einer hierarchisch Archimedischen Copula (HAC), in einem zweistufigen Verfahren zu schätzen: MEMs werden an die eindimensionalen Prozesse kalibriert um die Residuen zu erhalten, deren Abhängigkeiten durch eine HAC geschätzt werden. Die empirische Analyse unterstützt die Hypothese …
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Modelling interdependence in a pair of heating oil and natural gas futures curves
… dynamic conditional correlation models based on hierarchical Archimedian copula (HAC-DCC). The conducted analysis allowed to forecast the distribution of the returns of any portfolios composed of the available futures contracts for short time periods. As shown in the study, value-at-risk …