Keywords: Hierarchical Kendall copulas
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Journal Articles
Agricultural Finance Review (2016) 76 (4): 512–531.
Published: 07 November 2016
.... Design/methodology/approach Hierarchical Kendall copula (HKC) models are used to model potential non-linear correlations of the high-dimensional crop yield variables. A Bayesian estimation approach is applied to account for estimation risk in the copula parameters. A synthetic insurance portfolio...

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