Selecting and estimating regular vine copulae and application to financial returns

DOI10.1016/j.csda.2012.08.010zbMath1400.62114arXiv1202.2002OpenAlexW2030338847MaRDI QIDQ80568

J. Dißmann, Dorota Kurowicka, C. Czado, E.C. Brechmann, Claudia Czado, J. Dißmann, Eike Christian Brechmann, Dorota Kurowicka

Publication date: March 2013

Published in: Computational Statistics & Data Analysis, Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.2002

zbMATH Keywords

model selection minimum spanning tree multivariate copula regular vines

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

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