Truncation of vine copulas using fit indices

DOI10.1016/j.jmva.2015.02.012zbMath1320.62113OpenAlexW2067121197MaRDI QIDQ2350036

Eike Christian Brechmann, Joe, Harry

Publication date: 18 June 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.02.012

zbMATH Keywords

partial correlationvine copulafit indextruncated vine

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (10)

Model selection for discrete regular vine copulas ⋮ Structure learning in Bayesian networks using regular vines ⋮ Vine copula statistical disclosure control for mixed-type data ⋮ Vine copula regression for observational studies ⋮ DYNAMIC ASSET CORRELATIONS BASED ON VINES ⋮ Sequential truncation of \(R\)-vine copula mixture model for high-dimensional datasets ⋮ Model selection in sparse high-dimensional vine copula models with an application to portfolio risk ⋮ A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series ⋮ Copula-based Black-Litterman portfolio optimization ⋮ Variational inference with vine copulas: an efficient approach for Bayesian computer model calibration

Uses Software

• QRM
• CopulaModel

Cites Work

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• Two Algorithms for Generating Weighted Spanning Trees in Order
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