Hierarchical Archimedean Copulas

Ostap Okhrin, Jan Górecki, 2024
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This book offers a thorough understanding of Hierarchical Archimedean Copulas (HACs) and their practical applications. It covers the basics of copulas, explores the Archimedean family, and delves into the specifics of HACs, including their fundamental properties. The text also addresses sampling algorithms, HAC parameter estimation, and structure, and highlights temporal models with applications in finance and economics. The final chapter introduces R, MATLAB, and Octave toolboxes for copula modelling, enabling students, researchers, data scientists, and practitioners to model complex dependence structures and make well-informed decisions across various domains.

Key specifications

topic
Mathematics & Natural Sciences
Subtopic
Mathematical physics
Author
Jan Górecki, Ostap Okhrin
Book cover
Paperback
Year
2024
Item number
46381608

General information

Publisher
Springer
Category
Reference books
Release date
16.5.2024

Book properties

topic
Mathematics & Natural Sciences
Subtopic
Mathematical physics
Author
Jan Górecki, Ostap Okhrin
Year
2024
Book cover
Paperback
Year
2024

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    0.2 %

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  • 51.Finanzbuch
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  • 51.Simon & Schuster
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  • 55.UTB
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