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Title:

SCOMDY models based on pair-copula constructions with application to exchange rates

Document type:
Zeitschriftenaufsatz
Author(s):
Min, A.; Czado, C.
Non-TUM Co-author(s):
nein
Cooperation:
-
Abstract:
Aas et al. (2009) discovered vine pair-copula constructions (PCC's) for modeling multivariate dependence and thus put an important milestone in the usage of multivariate copulas. At present time PCC's are recognized to be as a most flexible class of multivariate copulas. In this paper we combine vine PCC's and semiparametric copulabased dynamic (SCOMDY) models of Chen and Fan (2006a) with ARMA-GARCH margins. As building blocks of the PCC's we use bivariate t-copulas. Further we consider exchange...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
Computational Statistics and Data Analysis
Year:
2014
Journal volume:
76
Pages contribution:
523-535
Reviewed:
ja
Language:
en
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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