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)
Pair-copula constructions of multiple dependence
Pair-copula constructions for non-Gaussian Bayesian networks
Pair-copula constructions for non-Gaussian Bayesian networks
Copula constructions in Rawang
Analyzing and modeling multivariate association : statistical measures and pair-copula constructions
Copula and focus constructions in selected Ethiopian languages
Copula and focus constructions in selected Ethiopian languages
Copula modelling to analyse financial data
Copy constructions and their interaction with the copula in Korean
Time-varying copula models for financial time series
Cópula
Cópula
Pair-copula constructions of multiple dependence
Pair-copula constructions for non-Gaussian Bayesian networks
Pair-copula constructions for non-Gaussian Bayesian networks
Copula constructions in Rawang
Analyzing and modeling multivariate association : statistical measures and pair-copula constructions
Copula and focus constructions in selected Ethiopian languages
Copula and focus constructions in selected Ethiopian languages
Copula modelling to analyse financial data
Copy constructions and their interaction with the copula in Korean
Time-varying copula models for financial time series
Cópula
Cópula
Pair-copula constructions of multiple dependence
Pair-copula constructions for non-Gaussian Bayesian networks
Pair-copula constructions for non-Gaussian Bayesian networks
Copula constructions in Rawang
Analyzing and modeling multivariate association : statistical measures and pair-copula constructions
Copula and focus constructions in selected Ethiopian languages
Copula and focus constructions in selected Ethiopian languages
Copula modelling to analyse financial data
Copy constructions and their interaction with the copula in Korean
Time-varying copula models for financial time series
Cópula