Vine copula-cross entropy evaluation of dependence structure and financial risk in agricultural commodity index returns

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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書目詳細資料
Main Authors:	Songsak Sriboonchitta, Jianxu Liu, Aree Wiboonpongse
格式:	Book Series
出版:	2018
主題:	Computer Science Engineering
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
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