Multivariate dynamic copula construction based on a vine structure

MaRDI QIDQ3571143zbMATH OpenFDO

Authors Ziping Du, Peng Yan, Yong Zhang

Publication date 8 July 2010

zbMATH Keywords

conditional copulas

Mathematics Subject Classification ID

Applications of graph theory (05C90) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate distribution of statistics (62H10)

Recommendations

• Vine-copula GARCH model with dynamic conditional dependence
• Vine copula specifications for stationary multivariate Markov chains
• Selection of vine copulas
• Vine copula approximation: a generic method for coping with conditional dependence
• Bayesian model selection for D-vine pair-copula constructions

Cited in

(7)

• Vine-copula GARCH model with dynamic conditional dependence
• M-vine decomposition and VAR(1) models
• Univariate conditioning of vine copulas
• Vine copula constructions of higher-dimensional dependent reliability systems
• A class of multivariate copulas based on products of bivariate copulas
• Vine copula specifications for stationary multivariate Markov chains
• Multivariate joint probability function of earthquake ground motion prediction equations based on vine copula approach

This page was built for publication: Multivariate dynamic copula construction based on a vine structure

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3571143)