Vine Copula Based Dependence Modeling in Sustainable Finance

Highlights:• State-of-art review of vine copulas and stationary vine copulas.• Two types of vine copula models to capture cross-sectional and temporal dependence in ESG data.• Extreme ESG classes (i.e., classes A and D) show the highest and nonGaussian dependence to the market.• Future research agenda using vine copulas in sustainable finance

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Year of publication:	2022
Authors:	Czado, Claudia ; Bax, Karoline ; Sahin, Özge ; Nagler, Thomas ; Min, Aleksey ; Paterlini, Sandra
Publisher:	[S.l.] : SSRN
Subject:	Multivariate Verteilung \| Multivariate distribution \| Theorie \| Theory \| Nachhaltige Entwicklung \| Sustainable development

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Extent:	1 Online-Ressource (39 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.4258037 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014236313