Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

copula sign in to follow this
marginal sign in to follow this
multivariate sign in to follow this
conditional sign in to follow this

VaR Methods sign in to follow this
--Extreme Value Theory sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
Pair-Copula Constructions of Multiple Dependence
Year Of Publication: 2006
Month Of Publication: August
Pages: 39
Download Count: 495
View Count:
Comment Num: 0
Language: EN
Who Can Read: Free
Date: 2-11-2007
Publisher: Administrator
Building on the work of Bedford, Cooke and Joe, we show how multivariate data,which exhibit complex patterns of dependence in the tails, can be modelled using a cascadeof pair-copulae, acting on two variables at a time. We use the pair-copula decomposition ofa general multivariate distribution and propose a method to perform inference. The modelconstruction is hierarchical in nature, the various levels corresponding to the incorporationof more variables in the conditioning sets, using pair-copulae as simple building blocs. Paircopuladecomposed models also represent a very flexible way to construct higher-dimensionalcoplulae. We apply the methodology to a financial data set. Our approach represents thefirst step towards developing of an unsupervised algorithm that explores the space of possiblepair-copula models, that also can be applied to huge data sets automatically.
Aas, Kjersti Sign in to follow this author
Czado, Claudia Sign in to follow this author
Frigessi, Arnoldo Sign in to follow this author
Bakken, Henrik Sign in to follow this author
This document's citation network:
Similar Documents:
Documents that cite this work:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile