Smooth nonparametric Bernstein vine copulas
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Abstract: We propose to use nonparametric Bernstein copulas as bivariate pair-copulas in high-dimensional vine models. The resulting smooth and nonparametric vine copulas completely obviate the error-prone need for choosing the pair-copulas from parametric copula families. By means of a simulation study and an empirical analysis of financial market data, we show that our proposed smooth nonparametric vine copula model is superior to competing parametric vine models calibrated via Akaike's Information Criterion.
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Cites work
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Cited in
(11)- Nonparametric estimation of simplified vine copula models: comparison of methods
- Copula approaches for modeling cross-sectional dependence of data breach losses
- A multi-year microlevel collective risk model
- Statistical arbitrage with vine copulas
- On copula-based collective risk models: from elliptical copulas to vine copulas
- Multivariate composite copulas
- Bernstein copulas and composite Bernstein copulas
- Modelling credit card exposure at default using vine copula quantile regression
- Vine copula modeling dependence among cyber risks: a dangerous regulatory paradox
- Bernstein copula characteristic function
- Efficient Estimation of Parameters in Marginals in Semiparametric Multivariate Models
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