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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Ivanov, E.; Min, A.; Ramsauer, F. 
Titel:
Copula-Based Factor Models for Multivariate Asset Returns 
Abstract:
Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the dependence of unobserved multivariate factors resulting from two dynamic factor models. However, the proposed methodology is general and applicable to several factor models as well as to other copula models...    »
 
Stichworte:
COPAR model; dynamic factor model; multivariate time series; optimal mean-variance 
Zeitschriftentitel:
Econometrics 
Jahr:
2017 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik