Vine copula-cross entropy evaluation of dependence structure and financial risk in agricultural commodity index returns
Many studies used the empirical Kendall's tau to select a preferable ordering of vine copulas or to fix such a sequence. In this study, for high dimension vine copulas, we propose the vine copula based cross entropy method to figure out a more appropriate ordering of the vine copula. The goal o...
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| Main Authors: | , , |
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| Format: | Book Series |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897843679&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/53412 |
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| Institution: | Chiang Mai University |