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Title:

Pair-copula constructions for modeling exchange rate dependence

Document type:
Zeitschriftenaufsatz
Author(s):
Czado, C., Min, A., Baumann, T., Dakovic, R.
Abstract:
In order to capture the dependency among exchange rates we construct semiparametric multivariate copula models with ARMA-GARCH margins. As multivariate copula models we utilize pair-copula constructions (PCC) such as regular and canonical vines. As building blocks of the PCC’s we use bivariate t-copulas for different tail dependence between pairs of exchange rates. Alternatively we also consider a non Gaussian directed acyclic graph (DAG) model which can be imbedded as a special PCC. We app...     »
Keywords:
multivariate copula, GARCH-ARMA margins, exchange rates, pair-copula construction, vines, directed acyclic graphs
Journal title:
Preprint
Year:
2009
Reviewed:
ja
Language:
en
Status:
submitted
Semester:
SS 09
Format:
Text
 BibTeX