Artikel
Pair-copula constructions for financial applications: A review
This survey reviews the large and growing literature on the use of pair-copula constructions (PCCs) in financial applications. Using a PCC, multivariate data that exhibit complex patterns of dependence can be modeled using bivariate copulae as simple building blocks. Hence, this model represents a very flexible way of constructing higher-dimensional copulae. In this paper, we survey inference methods and goodness-of-fit tests for such models, as well as empirical applications of the PCCs in finance and economics.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 4 ; Year: 2016 ; Issue: 4 ; Pages: 1-15 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Estimation: General
Statistical Simulation Methods: General
Model Construction and Estimation
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
Financial Econometrics
- Thema
-
pair-copula constructions
vines
dependence
conditional distribution
flexibility
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Aas, Kjersti
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2016
- DOI
-
doi:10.3390/econometrics4040043
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Aas, Kjersti
- MDPI
Entstanden
- 2016
Ähnliche Objekte (12)
Tail dependence in financial markets: A dynamic copula approach
Copula modelling to analyse financial data
Recent developments in copula models
Pair-copula constructions of multiple dependence
Pair-copula constructions for non-Gaussian Bayesian networks
Pair-copula constructions for non-Gaussian Bayesian networks
Financial econometrics
The worst case GARCH-copula CVaR approach for portfolio optimisation: Evidence from financial markets
Financial reforms and financial fragility: A panel data analysis
Causal effects of financial education intervention aimed at University students on financial knowledge and financial self-efficacy
Application of a vine copula for multi-line insurance reserving
Contagion of the subprime financial crisis on frontier stock markets: A copula analysis
Tail dependence in financial markets: A dynamic copula approach
Copula modelling to analyse financial data
Recent developments in copula models
Pair-copula constructions of multiple dependence
Pair-copula constructions for non-Gaussian Bayesian networks
Pair-copula constructions for non-Gaussian Bayesian networks
Financial econometrics
The worst case GARCH-copula CVaR approach for portfolio optimisation: Evidence from financial markets
Financial reforms and financial fragility: A panel data analysis
Causal effects of financial education intervention aimed at University students on financial knowledge and financial self-efficacy
Application of a vine copula for multi-line insurance reserving
Contagion of the subprime financial crisis on frontier stock markets: A copula analysis
Tail dependence in financial markets: A dynamic copula approach
Copula modelling to analyse financial data
Recent developments in copula models
Pair-copula constructions of multiple dependence
Pair-copula constructions for non-Gaussian Bayesian networks
Pair-copula constructions for non-Gaussian Bayesian networks
Financial econometrics
The worst case GARCH-copula CVaR approach for portfolio optimisation: Evidence from financial markets
Financial reforms and financial fragility: A panel data analysis
Causal effects of financial education intervention aimed at University students on financial knowledge and financial self-efficacy
Application of a vine copula for multi-line insurance reserving