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Titel:

Selecting and estimating regular vine copulae and application to financial returns

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Dißmann, J., Brechmann, E.C., Czado, C., and Kurowicka, D.
Abstract:
Regular vine distributions which constitute a flexible class of multivariate dependence models are discussed. Since multivariate copulae constructed through pair-copula decompositions were introduced to the statistical community, interest in these models has been growing steadily and they are finding successful applications in various fields. Research so far has however been concentrating on so-called canonical and D-vine copulae, which are more restrictive cases of regular vine co...     »
Stichworte:
minimum spanning tree, model selection, multivariate copula, regular vines
Zeitschriftentitel:
Computational Statistics and Data Analysis
Jahr:
2013
Band / Volume:
59
Seitenangaben Beitrag:
52–69
Reviewed:
ja
Sprache:
en
WWW:
Link to Sciencedirect
Status:
Postprint / reviewed
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX