Benutzer: Gast  Login
Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Czado, C., Min, A., Baumann, T., Dakovic, R. 
Titel:
Pair-copula constructions for modeling exchange rate dependence 
Abstract:
In order to capture the dependency among exchange rates we construct semiparametric multivariate copula models with ARMA-GARCH margins. As multivariate copula models we utilize pair-copula constructions (PCC) such as regular and canonical vines. As building blocks of the PCC’s we use bivariate t-copulas for different tail dependence between pairs of exchange rates. Alternatively we also consider a non Gaussian directed acyclic graph (DAG) model which can be imbedded as a special PCC. W...    »
 
Stichworte:
multivariate copula, GARCH-ARMA margins, exchange rates, pair-copula construction, vines, directed acyclic graphs 
Zeitschriftentitel:
Preprint 
Jahr:
2009 
Reviewed:
ja 
Sprache:
en 
Status:
submitted 
Semester:
SS 09 
Format:
Text