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.
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.