Why are vine copulas so successful in econometrics?
© 2015 World Scientific Publishing Company. One of the most empirically successful tools for studying dependence between different quantities in econometrics is the tool of vine copulas. In this paper, we explain this empirical success by showing that the most widely used vine copulas are, in effect...
Saved in:
| Main Authors: | , , |
|---|---|
| 格式: | 雜誌 |
| 出版: |
2018
|
| 主題: | |
| 在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84954055176&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44035 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
| 機構: | Chiang Mai University |
| id |
th-cmuir.6653943832-44035 |
|---|---|
| record_format |
dspace |
| spelling |
th-cmuir.6653943832-440352018-04-25T07:44:51Z Why are vine copulas so successful in econometrics? Songsak Sriboonchitta Olga Kosheleva Hung T. Nguyen Agricultural and Biological Sciences © 2015 World Scientific Publishing Company. One of the most empirically successful tools for studying dependence between different quantities in econometrics is the tool of vine copulas. In this paper, we explain this empirical success by showing that the most widely used vine copulas are, in effect, the results of using the general fuzzy methodology. To be more precise, vine copulas correspond to a natural extension of the traditional fuzzy methodology, when we allow several different "and"-operations (t-norms), and some of these t-norms can be nonassociative. 2018-01-24T04:37:20Z 2018-01-24T04:37:20Z 2015-12-01 Journal 02184885 2-s2.0-84954055176 10.1142/S0218488515400103 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84954055176&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44035 |
| institution |
Chiang Mai University |
| building |
Chiang Mai University Library |
| country |
Thailand |
| collection |
CMU Intellectual Repository |
| topic |
Agricultural and Biological Sciences |
| spellingShingle |
Agricultural and Biological Sciences Songsak Sriboonchitta Olga Kosheleva Hung T. Nguyen Why are vine copulas so successful in econometrics? |
| description |
© 2015 World Scientific Publishing Company. One of the most empirically successful tools for studying dependence between different quantities in econometrics is the tool of vine copulas. In this paper, we explain this empirical success by showing that the most widely used vine copulas are, in effect, the results of using the general fuzzy methodology. To be more precise, vine copulas correspond to a natural extension of the traditional fuzzy methodology, when we allow several different "and"-operations (t-norms), and some of these t-norms can be nonassociative. |
| format |
Journal |
| author |
Songsak Sriboonchitta Olga Kosheleva Hung T. Nguyen |
| author_facet |
Songsak Sriboonchitta Olga Kosheleva Hung T. Nguyen |
| author_sort |
Songsak Sriboonchitta |
| title |
Why are vine copulas so successful in econometrics? |
| title_short |
Why are vine copulas so successful in econometrics? |
| title_full |
Why are vine copulas so successful in econometrics? |
| title_fullStr |
Why are vine copulas so successful in econometrics? |
| title_full_unstemmed |
Why are vine copulas so successful in econometrics? |
| title_sort |
why are vine copulas so successful in econometrics? |
| publishDate |
2018 |
| url |
https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84954055176&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44035 |
| _version_ |
1681422484574830592 |