Work

Hierarchical Archimedean Copulae: The HAC Package

Year: 2014

Type: article

Abstract: This paper presents the R package HAC, which provides user friendly methods for dealing with hierarchical Archimedean copulae (HAC). Computationally efficient estimation procedures allow to recover the structure and the parameters of HAC from data. In addition, arbitrary HAC can be constructed to sample random vectors and to compute the values of the corresponding cumulative distribution plus density functions. Accurate graphics of the HAC structure can be produced by the plot method implemented for these objects.

Source: Journal of Statistical Software

DOI: 10.18637/jss.v058.i04

Authors: Ostap Okhrin, Alexander Ristig

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

Funders: Deutsche Forschungsgemeinschaft, Humboldt-Universität zu Berlin

Award: G6846759152

OpenAlex ID: W2255441507

FWCI: 17.08

Cites: 37

Cited by: 82

Related to: 10