User: Guest  Login
Document type:
Masterarbeit 
Author(s):
Krüger, Daniel 
Title:
General vine copula models for stationary multivariate time series 
Abstract:
Describing the serial, cross-serial and cross-sectional (conditional) dependence is an important task in the analysis of multivariate time series. While the classical vector autoregressive (VAR) model only captures linear dependence, copula functions, introduced by Sklar (1959) enable us to describe the dependence more flexibly. For high dimensional data, one often uses pair-copula constructions, where the joint copula density is decomposed using only bivariate copulas, for a more flexible descr...    »
 
Supervisor:
Min, Aleksey 
Advisor:
Min, Aleksey 
Year:
2018 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Commencing Date:
15.06.2018 
End of processing:
30.11.2018