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Title:

Copula-Based Factor Models for Multivariate Asset Returns

Document type:
Zeitschriftenaufsatz
Author(s):
Ivanov, E.; Min, A.; Ramsauer, F.
Non-TUM Co-author(s):
ja
Cooperation:
national
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...     »
Keywords:
COPAR model; dynamic factor model; multivariate time series; optimal mean-variance
Intellectual Contribution:
Discipline-based Research
Journal title:
Econometrics
Year:
2017
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.3390/econometrics5020020
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Peer reviewed:
Ja
Commissioned:
not commissioned
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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