Search Results - subject:"Multivariate copula"

Dynamic robust portfolio selection under market distress

Jiang, Yifu; Olmo, Jose; Atwi, Majed - In: The North American journal of economics and finance : a … 69 (2024) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10014445636

Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model

HEINEN, Andréas; VALDESOGO, Alfonso - Center for Operations Research and Econometrics (CORE), … - 2009

deliver good forecasts of Value-atRisk. Keywords: asymmetric dependence, high dimension, multivariate copula, multivariate … that a flexible multivariate copula can be decomposed into a cascade of bivariate copulas. 3For instance Embrechts, McNeil …

Persistent link: https://www.econbiz.de/10008550163

Efficient Estimation of Semiparametric Multivariate Copula Models

Chen, Xiaohong; Fan, Yanqin; Tsyrennifov, Victor - Vanderbilt University Department of Economics - 2004

We propose a sieve maximum likelihood (ML) estimation procedure for a broad class of semiparametric multivariate distribution models. A joint distribution in this class is characterized by a parametric copula function evaluated at nonparametric marginal distributions. This class of models has...

Persistent link: https://www.econbiz.de/10005178573