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Titel:

Bayesian inference for multivariate copulas using pair-copula constructions.

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Min, A. and Czado, C.
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 in f...     »
Stichworte:
Bayesian inference; Euro swap rates; financial returns; Markov chain Monte Carlo methods; Metropolis-Hastings algorithm; multivariate copula; pair-copula construction; vine.
Zeitschriftentitel:
Journal of Financial Econometrics
Jahr:
2010
Band / Volume:
8
Jahr / Monat:
2010-05
Heft / Issue:
4
Seitenangaben Beitrag:
511-546
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1093/jfinec/nbp031
Status:
Verlagsversion / published
Semester:
SS 10
Format:
Text
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