Estimating Pair-Copula Constructions Using Empirical Tail Dependence Functions: an Application to Russian Stock Market
Download full text from publisher
References listed on IDEAS
- Rafael Schmidt & Ulrich Stadtmüller, 2006. "Non-parametric Estimation of Tail Dependence," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 307-335.
- Li, Haijun & Wu, Peiling, 2013. "Extremal dependence of copulas: A tail density approach," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 99-111.
- Dißmann, J. & Brechmann, E.C. & Czado, C. & Kurowicka, D., 2013. "Selecting and estimating regular vine copulae and application to financial returns," Computational Statistics & Data Analysis, Elsevier, vol. 59(C), pages 52-69.
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 22(2), pages 98-134.
- Manfred Gilli & Evis Këllezi & Hilda Hysi, "undated".
"A Data-Driven Optimization Heuristic for Downside Risk Minimization,"
Swiss Finance Institute Research Paper Series
06-02, Swiss Finance Institute.
- M. Gilli & E. Kellezi & H. Hysi, 2006. "A Data-Driven Optimization Heuristic for Downside Risk Minimization," Computing in Economics and Finance 2006 355, Society for Computational Economics.
- Aas, Kjersti & Czado, Claudia & Frigessi, Arnoldo & Bakken, Henrik, 2009. "Pair-copula constructions of multiple dependence," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 182-198, April.
- Hansen, Bruce E, 1994.
"Autoregressive Conditional Density Estimation,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-730, August.
- Hansen, B.E., 1992. "Autoregressive Conditional Density Estimation," RCER Working Papers 322, University of Rochester - Center for Economic Research (RCER).
- Tom Doan, "undated". "RATS programs to replicate Hansen's GARCH models with time-varying t-densities," Statistical Software Components RTZ00086, Boston College Department of Economics.
- François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, April.
- Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions. III," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 24(4), pages 100-130.
- Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
- Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions. II," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 23(3), pages 98-132.
More about this item
Keywordspair-copula constructions; regular vines; EGARCH; tail dependence functions; portfolio optimization;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nea:journl:y:2015:i:25:p:39-55. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alexey Tcharykov). General contact details of provider: http://edirc.repec.org/data/nearuea.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.