User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Min, A. and Czado, C. 
Title:
Bayesian inference for multivariate copulas using pair-copula constructions. 
Abstract:
This article provides a Bayesian analysis of pair-copula constructions (Aas et al., 2007 Insurance Math. Econom.) for modeling multivariate dependence structures. These constructions are based on bivariate t.copulas as building blocks and can model the nature of extremal events in bivariate margins individually. According to recent empirical studies (Fischer et al. (2007) and Berg and Aas (2007)) pair-copula constructions (PCCfs) outperform many other multivariate copula constructions...    »
 
Keywords:
Bayesian inference; Euro swap rates; financial returns; Markov chain Monte Carlo methods; Metropolis-Hastings algorithm; multivariate copula; pair-copula construction; vine. 
Journal title:
Journal of Financial Econometrics 
Year:
2010 
Journal volume:
Year / month:
2010-05 
Journal issue:
Pages contribution:
511-546 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
SS 10 
Format:
Text