Vine copulas with asymmetric tail dependence and applications to financial return data

Computational Statistics and Data Analysis

Volumn 56, Issue 11, 2012, Pages 3659-3673

  Nikoloulopoulos, Aristidis K ^a   Joe, Harry ^b   Li, Haijun ^c  

^a UNIVERSITY OF EAST ANGLIA   (United Kingdom)

^b UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^c WASHINGTON STATE UNIVERSITY   (United States)

Author keywords

Copula GARCH; Inference functions for margins; Reflection asymmetry; Value at Risk

Indexed keywords

BIVARIATE; COPULA-GARCH; EXTREME QUANTILES; FINANCIAL ASSET RETURNS; FINANCIAL RETURNS; INFERENCE FUNCTIONS FOR MARGINS; TAIL DEPENDENCE; VALUE AT RISK;

COMPUTATIONAL METHODS;

DATA HANDLING;

EID: 84862007826     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2010.07.016     Document Type: Article

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