Selecting and estimating regular vine copulae and application to financial returns
Selecting and estimating regular vine copulae and application to financial returns
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DOI：
10.1016/j.csda.2012.08.010
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发表时间：
2013-03-01
影响因子：
1.8
通讯作者：
Kurowicka, D.
中科院分区：
文献类型：
--
作者：
Dissmann, J.;Brechmann, E. C.;Kurowicka, D.
讨论了构成一类灵活的多元依赖模型的规则藤分布。自从通过对联结分解构建的多元联结被引入统计界以来，人们对这些模型的兴趣一直在稳步增长，并且它们在各个领域都得到了成功的应用。然而，迄今为止的研究一直集中在所谓的规范和 D-vine 系词上，它们是常规 vine 系词的更具限制性的情况。展示了如何评估任意规则藤蔓规格的密度。这使得 vine copula 方法能够对复杂的依赖关系进行灵活的建模，甚至在更大的维度上也是如此。在这方面，提出了一种基于图论考虑的新的自动化模型选择和估计技术。这种综合搜索策略在大型模拟研究中进行了评估，并应用于过去十年（特别是最近的金融危机期间）观察到的国际股票、固定收益和商品指数的 16 维金融数据集。该分析提供了经济上易于解释的结果以及对这些指数之间的依赖结构的有趣见解。 (C) 2012 Elsevier B.V. 保留所有权利。
Regular vine distributions which constitute a flexible class of multivariate dependence models are discussed. Since multivariate copulae constructed through pair-copula decompositions were introduced to the statistical community, interest in these models has been growing steadily and they are finding successful applications in various fields. Research so far has however been concentrating on so-called canonical and D-vine copulae, which are more restrictive cases of regular vine copulae. It is shown how to evaluate the density of arbitrary regular vine specifications. This opens the vine copula methodology to the flexible modeling of complex dependencies even in larger dimensions. In this regard, a new automated model selection and estimation technique based on graph theoretical considerations is presented. This comprehensive search strategy is evaluated in a large simulation study and applied to a 16-dimensional financial data set of international equity, fixed income and commodity indices which were observed over the last decade, in particular during the recent financial crisis. The analysis provides economically well interpretable results and interesting insights into the dependence structure among these indices. (C) 2012 Elsevier B.V. All rights reserved.