The Realized Hierarchical Archimedean Copula in Risk Modelling
The Realized Hierarchical Archimedean Copula in Risk Modelling
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Publisher
Basel: MDPI AG
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Language
English
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Publisher
Basel: MDPI AG
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Contents
This paper introduces the concept of the realized hierarchical Archimedean copula (rHAC). The proposed approach inherits the ability of the copula to capture the dependencies among financial time series, and combines it with additional information contained in high-frequency data. The considered model does not suffer from the curse of dimensionalit...
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Full title
The Realized Hierarchical Archimedean Copula in Risk Modelling
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TN_cdi_doaj_primary_oai_doaj_org_article_5f886bbd8e2747cfbe54ac2282e26798
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_doaj_primary_oai_doaj_org_article_5f886bbd8e2747cfbe54ac2282e26798
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ISSN
2225-1146
E-ISSN
2225-1146
DOI
10.3390/econometrics5020026
