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Note on New Prospects on Vines

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Author Info
Dominique Guegan () (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris)
Pierre-André Maugis () (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I)

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Abstract

We present here a new way of building vine copulas that allows us to create a vast number of new vine copulas, allowing for more precise modeling in high dimensions. To deal with this great number of copulas we present a new efficient selection methodology using a lattice structure on the vine set. Our model allows for a lot of degrees of freedom, but further improvements face numerous problems caused by vines' complexity as an estimator in a statistical and computational way, problems that we will expose in this paper. Robust n-variate models would be a great breakthrough for asset risk management in banks and insurance companies.

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Publisher Info
Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00348884_v1.

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Date of creation: Dec 2008
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Handle: RePEc:hal:cesptp:halshs-00348884_v1

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Related research
Keywords: Vines; multivariate copulas; model selection.;

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  1. Dominique Guégan, 2009. "A Meta-Distribution for Non-Stationary Samples," CREATES Research Papers 2009-24, School of Economics and Management, University of Aarhus. [Downloadable!]
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This page was last updated on 2009-11-25.

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