Contagion determination via copula and volatility threshold models

DOI10.1080/14697680903410023zbMath1241.91134OpenAlexW2125819444MaRDI QIDQ2893213

Veni Arakelian, Petros Dellaportas

Publication date: 26 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903410023

zbMATH Keywords

copulastime-varying parametersLaplace approximationreversible jump Markov chain Monte CarloKendall's \(\tau \)

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Monte Carlo methods (65C05)

Related Items (6)

On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices ⋮ Time-varying joint distribution through copulas ⋮ Clustering Dependencies Via Mixtures of Copulas ⋮ Bayesian model selection for D-vine pair-copula constructions ⋮ Sovereign risk zones in Europe during and after the debt crisis ⋮ Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas

Cites Work

• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• On Bayesian model and variable selection using MCMC
• On the simultaneous associativity of F(x,y) and x+y-F(x,y)
• Autoregressive conditional heteroskedasticity and changes in regime
• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
• Automatic Bayesian Curve Fitting
• Flexible Threshold Models for Modelling Interest Rate Volatility

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