Benutzer: Gast  Login
Dokumenttyp:
Zeitungsartikel 
Autor(en):
Kreuzer, A. and Czado, C. 
Titel:
Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo 
Abstract:
Single factor models are used in finance to model the joint behaviour of stocks. The dependence is commonly modeled with a multivariate normal distribution. Krupskii and Joe(2013) provide a copula based extension. This single factor copula requires the specification of bivariate linking copulas. Resulting joint models can accommodate symmetric or asymmetric tail dependence. For modeling multivariate time series we propose a single factor copula model together with stochastic volatility margins....    »
 
Dewey Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
Preprint 
Jahr:
2018 
Sprache:
en 
WWW:
_blank 
Status:
Preprint / submitted 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text