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  • Search: subject:"Inference functions for margins"
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Copula-GARCH 1 Inference functions for margins 1 Reflection asymmetry 1 Value-at-Risk 1
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Joe, Harry 1 Li, Haijun 1 Nikoloulopoulos, Aristidis K. 1
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Computational Statistics & Data Analysis 1
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Vine copulas with asymmetric tail dependence and applications to financial return data
Nikoloulopoulos, Aristidis K.; Joe, Harry; Li, Haijun - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3659-3673
It has been shown that vine copulas constructed from bivariate t copulas can provide good fits to multivariate financial asset return data. However, there might be stronger tail dependence of returns in the joint lower tail of assets than the upper tail. To this end, vine copula models with...
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