We formulate the problem of finding and estimating the optimal hierarchical Archimedean copula as an amended shortest path problem. The standard network flow problem is amended by certain constraints specific to copulas, which limit scalability of the problem. However, we show in dimensions as high as twenty that the new approach dominates the alternatives which usually require recursive estimation or full enumeration.

Original languageEnglish
Pages (from-to)131-134
Number of pages4
JournalEconomics Letters
Volume149
DOIs
StatePublished - 1 Dec 2016
Externally publishedYes

    Research areas

  • Copulas, Network flow problem

    Scopus subject areas

  • Finance
  • Economics and Econometrics

ID: 36345994