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...
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| Main Authors: | , , |
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| Format: | Journal |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84954055176&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44035 |
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| Institution: | Chiang Mai University |