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Titel:

Copula-Based Factor Models for Multivariate Asset Returns

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Ivanov, E.; Min, A.; Ramsauer, F.
Nicht-TUM Koautoren:
ja
Kooperation:
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...     »
Stichworte:
COPAR model; dynamic factor model; multivariate time series; optimal mean-variance
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Econometrics
Jahr:
2017
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.3390/econometrics5020020
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Peer reviewed:
Ja
commissioned:
not commissioned
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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