HAC
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Software:23146
swMATH11199CRANHACMaRDI QIDQ23146
Estimation, Simulation and Visualization of Hierarchical Archimedean Copulae (HAC)
Last update: 14 March 2022
Copyright license: GNU General Public License
Software version identifier: 1.1-0
Source code repository: https://github.com/cran/HAC
Related Items (10)
Vulnerability-CoVaR: investigating the crypto-market ⋮ Nonparametric estimation of the tree structure of a nested Archimedean copula ⋮ On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison ⋮ On structure, family and parameter estimation of hierarchical Archimedean copulas ⋮ Basic Elements of Computational Statistics ⋮ Copula directed acyclic graphs ⋮ Properties of hierarchical Archimedean copulas ⋮ Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study ⋮ Fitting High-Dimensional Copulae to Data ⋮ Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
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