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Document type:
Zeitschriftenaufsatz 
Author(s):
Min, A.; Czado, C. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
SCOMDY models based on pair-copula constructions with application to exchange rates 
Abstract:
Aas et al. (2009) discovered vine pair-copula constructions (PCC's) for modeling multivariate dependence and thus put an important milestone in the usage of multivariate copulas. At present time PCC's are recognized to be as a most flexible class of multivariate copulas. In this paper we combine vine PCC's and semiparametric copulabased dynamic (SCOMDY) models of Chen and Fan (2006a) with ARMA-GARCH margins. As building blocks of the PCC's we use bivariate t-copulas. Further we consider exchange...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Computational Statistics and Data Analysis 
Year:
2014 
Journal volume:
76 
Pages contribution:
523-535 
Reviewed:
ja 
Language:
en 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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