Selecting and estimating regular vine copulae and application to financial returns

• Published in: Computational statistics & data analysis Vol. 59; pp. 52 - 69
• Main Authors: Dißmann, J., Brechmann, E.C., Czado, C., Kurowicka, D.
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.03.2013
• Subjects: automation; Commodities; Computer simulation; data collection; Density; economic crises; Estimating; income; Mathematical models; Minimum spanning tree; Model selection; Multivariate copula; Regular vines; Searching; Statistics; Strategy; vines; Regular vines; Model selection; Multivariate copula; Minimum spanning tree

Regular vine distributions which constitute a flexible class of multivariate dependence models are discussed. Since multivariate copulae constructed through pair-copula decompositions were introduced to the statistical community, interest in these models has been growing steadily and they are findin...