scientific article; zbMATH DE number 7246958

zbMath1463.62360MaRDI QIDQ5121469

Xinyu Yuan, Jiechen Tang, Songsak Sriboonchitta

Publication date: 14 September 2020

Full work available at URL: http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/1340

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zbMATH Keywords

dependenceGARCH modelelectricity spot pricecanonical vine copula

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Economic time series analysis (91B84)

Uses Software

• CDVine

Cites Work

• Pair-copula constructions of multiple dependence
• Selecting and estimating regular vine copulae and application to financial returns
• Mixture of D-vine copulas for modeling dependence
• Vines -- a new graphical model for dependent random variables.
• Vine copulas with asymmetric tail dependence and applications to financial return data
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50
• Uncertainty Analysis with High Dimensional Dependence Modelling
• On Bayesian Modeling of Fat Tails and Skewness

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