Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management
DOI10.1007/S10260-020-00527-5zbMath1480.62215OpenAlexW3036914094MaRDI QIDQ2059101
Adán Díaz-Hernández, Yuri Salazar Flores
Publication date: 13 December 2021
Published in: Statistical Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10260-020-00527-5
nonparametric estimationvine copulascounterdiagonal/nonpositive tail dependencefinancial asset returns
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Pair-copula constructions of multiple dependence
- Goodness-of-fit tests for copulas: A review and a power study
- Sequential Bayesian model selection of regular vine copulas
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- Parametric families of multivariate distributions with given margins
- An introduction to copulas.
- Modelling total tail dependence along diagonals
- Tail dependence functions and vine copulas
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Nonparametric estimation of general multivariate tail dependence and applications to financial time series
- Dependence modelling in ultra high dimensions with vine copulas and the graphical Lasso
- Empirical estimation of tail dependence using copulas: application to Asian markets
- Non-parametric Estimation of Tail Dependence
- Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
- The t Copula and Related Copulas
- Hedges or safe havens—revisit the role of gold and USD against stock: a multivariate extended skew-tcopula approach
- A new time-varying optimal copula model identifying the dependence across markets
- Maximum likelihood estimation of mixed C-vines with application to exchange rates
- Oil price and FX-rates dependency
This page was built for publication: Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management
