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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Czado, C.; Schepsmeier, U.; Min, A. 
Nicht-TUM Koautoren:
ja 
Kooperation:
Titel:
Maximum likelihood estimation of mixed C-vines with application to exchange rates 
Abstract:
Multivariate copulas are commonly used in economics, finance and risk management. They allow for very flexible dependency structures, even though they are applied to transformed financial data after marginal time dependencies are removed. This is necessary to facilitate statistical parameter estimation. In this paper we consider a very flexible class of mixed C-vines, which allows the variables to be ordered according to their influence. Vines are build from bivariate copulas only and the term "...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Statistical Modelling 
Jahr:
2012 
Band / Volume:
12 
Monat:
Jan 
Heft / Issue:
Seitenangaben Beitrag:
229–255 
Reviewed:
ja 
Sprache:
en 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein