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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Min, A.; Czado, C. 
Nicht-TUM Koautoren:
nein 
Kooperation:
Titel:
Bayesian inference for multivariate copulas using pair-copula constructions 
Abstract:
We provide a Bayesian analysis of pair-copula constructions (PCC's) (Aas et al. (2009)), which outperform many other multivariate copula constructions in modeling dependencies in financial data. We use bivariate t-copulas as building blocks in a PCC to allow extreme events in bivariate margins individually. While parameters may be estimated by maximum likelihood, confidence intervals are difficult to obtain. Consequently, we develop a Markov chain Monte Carlo (MCMC) algorithm and compute credibl...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Journal of Financial Econometrics 
Jahr:
2010 
Band / Volume:
Heft / Issue:
Seitenangaben Beitrag:
511-546 
Reviewed:
ja 
Sprache:
en 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein