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Vine Copula Specifications for Stationary Multivariate Markov Chains

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  • Brendan K. Beare
  • Juwon Seo

Abstract

type="main" xml:id="jtsa12103-abs-0001"> Vine copulae provide a graphical framework in which multiple bivariate copulae may be combined in a consistent fashion to yield a more complex multivariate copula. In this article, we discuss the use of vine copulae to build flexible semiparametric models for stationary multivariate higher-order Markov chains. We propose a new vine structure, the M-vine, that is particularly well suited to this purpose. Stationarity may be imposed by requiring the equality of certain copulae in the M-vine, while the Markov property may be imposed by requiring certain copulae to be independence copulae.

Suggested Citation

  • Brendan K. Beare & Juwon Seo, 2015. "Vine Copula Specifications for Stationary Multivariate Markov Chains," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 228-246, March.
    • Handle: RePEc:bla:jtsera:v:36:y:2015:i:2:p:228-246
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