Contagion determination via copula and volatility threshold models
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Publication:2893213
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
copulastime-varying parametersLaplace approximationreversible jump Markov chain Monte CarloKendall's \(\tau \)
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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