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  • 标题:An Econometric Study of Vine Copulas
  • 本地全文:下载
  • 作者:Pierre-André Maugis ; Dominique Guégan
  • 期刊名称:International Journal of Economics and Finance
  • 印刷版ISSN:1916-971X
  • 电子版ISSN:1916-9728
  • 出版年度:2014
  • 卷号:2
  • 期号:5
  • 页码:2
  • DOI:10.5539/ijef.v2n5p2
  • 语种:English
  • 出版社:Canadian Center of Science and Education
  • 摘要:We present a new recursive algorithm to construct vine copulas based on an underlying tree structure. This new structure is interesting to compute multivariate distributions for dependent random variables. We prove the asymptotic normality of the vine copula parameter estimator and show that all vine copula parameter estimators have comparable variance. Both results are crucial to motivate any econometrical work based on vine copulas. We provide an application of vine copulas to estimate the VaR of a portfolio, and show they offer significant improvement as compared to a benchmark estimator based on a GARCH model.
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