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Document type:
Zeitungsartikel 
Author(s):
Min, A., and Czado, C. 
Title:
SCOMDY models based on pair-copula constructions with application to exchange rates 
Abstract:
Vine pair-copula constructions (PCCs) provide an important milestone for the usage of multivariate copulas to model dependence. At present time PCCs are recognized to be the most flexible class of multivariate copulas. Vine PCCs and semiparametric copula-based dynamic (SCOMDY) models with ARMA-GARCH margins are combined. As building blocks of the PCCs, bivariate tt-copulas are used. Exchange rates are considered as an application and their dependence structure is modelled using regular and canon...    »
 
Keywords:
Multivariate copula, GARCH-ARMA margins, Exchange rates, Pair-copula construction, Vines 
Journal title:
Computational Statistics and Data Analysis 
Year:
2014 
Journal volume:
76 
Pages contribution:
523-535 
Reviewed:
ja 
Language:
en 
WWW:
Publisher:
Elsevier 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Mathematische Statistik