Valuation of collateralized debt obligations with hierarchical Archimedean copulae

Author:

Choroś-Tomczyk Barbara,Härdle Wolfgang Karl,Okhrin Ostap

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference40 articles.

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3. Penalized estimation of hierarchical Archimedean copula;Journal of Multivariate Analysis;2023-11

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