Vine copulas with asymmetric tail dependence and applications to financial return data

DOI10.1016/j.csda.2010.07.016zbMath1254.91613OpenAlexW2084128712MaRDI QIDQ1927146

Haijun Li, Aristidis K. Nikoloulopoulos, Joe, Harry

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.07.016

zbMATH Keywords

Value-at-Riskcopula-GARCHinference functions for marginsreflection asymmetry

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistical methods; economic indices and measures (91B82)

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