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...
Saved in:
| Main Authors: | , , |
|---|---|
| 格式: | Book Series |
| 出版: |
2018
|
| 主題: | |
| 在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897843679&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/53412 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|