Archived publication

Archived publication

Comparing estimators for pair-copula constructions

Hobæk Haff, Ingrid

June 30, 2011

SAMBA

  • Filename: pccsimexp.pdf
  • Areas: Finance, Insurance and Commodity Markets
  • Keywords: Copulae, Empirical distribution functions, Hierarchical construction, Stepwise estimation, Vines, Computational speed
  • Page(s): 33
  • Name and number of project:
  • Title: Comparing estimators for pair-copula constructions
  • Author(s): Hobæk Haff, Ingrid
  • Report number: SAMBA/22/11
  • Published date: June 30, 2011