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Estimation of Structured T-Copulas

Attilio Meucci
Bloomberg ALPHA, Portfolio Analytics and Risk

April 2008

Abstract:
We describe a simple recursive routine to estimate by maximum likelihood the correlation matrix and the degrees of freedom of the t-copula, when structure needs to be imposed on the eigenvalues for dimensionality issues.

Keywords: isotropy, shrinkage, structured correlation, estimation-maximization, maximum likelihood, radial generator

JEL Classifications: C1, G11

Working Paper Series

Date posted: April 29, 2008 ; Last revised: May 14, 2008

Suggested Citation

Meucci, Attilio, Estimation of Structured T-Copulas (April 2008). Available at SSRN: http://ssrn.com/abstract=1126401

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Attilio Meucci (Contact Author)

Bloomberg ALPHA, Portfolio Analytics and Risk ( email )

731 Lexington Avenue
New York, NY 10022
United States

HOME PAGE: http://www.symmys.com

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