Parameter estimation for pair-copula constructions

5369/Hob_k_Haff_-_Parameter_estimation_for_pair-copula_constructions.pdf

Hobæk Haff, Ingrid

October 06, 2010

SAMBA

• Filename: 5369/Hob_k_Haff_-_Parameter_estimation_for_pair-copula_constructions.pdf
• Areas:
• Keywords: Copulae, Efficiency, Empirical distribution functions, Hierarchical construction, Stepwise estimation, Vines
• Page(s): 35
• Name and number of project:
• Title: Parameter estimation for pair-copula constructions
• Author(s): Hobæk Haff, Ingrid
• Report number: SAMBA/36/10
• Published date: October 06, 2010