User: Guest  Login

Document type:
Zeitschriftenaufsatz
Author(s):
Dißmann, J., Brechmann, E.C., Czado, C., and Kurowicka, D.
Title:
Selecting and estimating regular vine copulae and application to financial returns
Abstract:
Regular vine distributions which constitute a flexible class of multivariate dependence models are discussed. Since multivariate copulae constructed through pair-copula decompositions were introduced to the statistical community, interest in these models has been growing steadily and they are finding successful applications in various fields. Research so far has however been concentrating on so-called canonical and D-vine copulae, which are more restrictive cases of regular vine co...     »
Keywords:
minimum spanning tree, model selection, multivariate copula, regular vines
Journal title:
Computational Statistics and Data Analysis
Year:
2013
Journal volume:
59
Pages contribution:
52–69
Reviewed:
ja
Language:
en
WWW:
Link to Sciencedirect
Status:
Postprint / reviewed
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX