DEPENDENCE MODEL USING GRAPHICAL STRUCTURE THROUGH VINE COPULA AND ITS APPLICATION TO PREDICTION OF RISK MEASURE OF AGGREGATE OF RETURNS FOLLOWING GARCH PROCESS
Dependence model for paired data is a model which consists of a number of paired random variables. The dependence structure and measure of the paired data and their marginal distributions need to be considered in order to obtain the appropriate dependence model. For two-dimensional paired data, t...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/46673 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |