Vine copulas as a way to describe and analyze multi-variate dependence in econometrics: Computational motivation and comparison with Bayesian networks and fuzzy approaches

• Main Authors: Songsak Sriboonchitta, Jianxu Liu, Vladik Kreinovich, Hung T. Nguyen
• 格式: Book Series
• 出版: 2018
• 在線閱讀: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897859595&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/45633
• 機構: Chiang Mai University

In the last decade, vine copulas emerged as a new efficient techniques for describing and analyzing multi-variate dependence in econometrics; see, e.g., [1, 2, 3, 7, 9, 10, 11, 13, 14, 21]. Our experience has shown, however, that while these techniques have been successfully applied to many practica...