Financial dependence analysis: applications of vine copulas

DOI10.1111/stan.12015zbMATH Open1541.62275MaRDI QIDQ6552773

Michael McAleer, A. K. Singh, Robert J. Powell, David Allen, Mohammad A. Ashraf

Publication date: 10 June 2024

Published in: Statistica Neerlandica (Search for Journal in Brave)

zbMATH Keywords

tree structuresco-dependence modellingregular vine copulas

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

• Unnamed Item
• Unnamed Item
• Pair-copula constructions of multiple dependence
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• An introduction to copulas.
• A parameterization of positive definite matrices in terms of partial correlation vines
• Vines -- a new graphical model for dependent random variables.
• 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
• Truncated regular vines in high dimensions with application to financial data
• Uncertainty Analysis with High Dimensional Dependence Modelling
• Copula–Based Models for Financial Time Series

This page was built for publication: Financial dependence analysis: applications of vine copulas