Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model
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Keywordsasymmetric dependence; high dimension; multivariate copula; multivariate GARCH; Value-at-Risk;
- 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
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-28 (All new papers)
- NEP-ECM-2010-03-28 (Econometrics)
- NEP-ETS-2010-03-28 (Econometric Time Series)
- NEP-FOR-2010-03-28 (Forecasting)
- NEP-RMG-2010-03-28 (Risk Management)
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