Selecting and estimating regular vine copulae and application to financial returns

Computational Statistics and Data Analysis

Volumn 59, Issue 1, 2013, Pages 52-69

  Dissmann J ^a   Brechmann, E C ^a   Czado, C ^a   Kurowicka, D ^b  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^b DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

Author keywords

Minimum spanning tree; Model selection; Multivariate copula; Regular vines

Indexed keywords

AUTOMATED MODEL SELECTION; DEPENDENCE MODEL; ESTIMATION TECHNIQUES; FINANCIAL CRISIS; FINANCIAL DATA; FINANCIAL RETURNS; MINIMUM SPANNING TREES; MODEL SELECTION; MULTIVARIATE COPULA; REGULAR VINES; SEARCH STRATEGIES; SIMULATION STUDIES;

COMPUTATIONAL METHODS; DATA HANDLING;

GRAPH THEORY;

EID: 84870062184     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2012.08.010     Document Type: Article

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