Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
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Publication:2001097
DOI10.1016/j.jmva.2019.03.004zbMath1419.62126arXiv1801.09739OpenAlexW2962860740WikidataQ128128747 ScholiaQ128128747MaRDI QIDQ2001097
C. Bumann, Claudia Czado, Thomas Nagler
Publication date: 2 July 2019
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1801.09739
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Related Items
Optimizing effective numbers of tests by vine copula modeling, Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation, On the quantification and efficient propagation of imprecise probabilities with copula dependence, Bayesian ridge regression for survival data based on a vine copula-based prior, Editorial for the special issue on dependence models, Prediction based on conditional distributions of vine copulas, Copula-based Black-Litterman portfolio optimization
Uses Software
Cites Work
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