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

• المؤلفون الرئيسيون: Songsak Sriboonchitta, Jianxu Liu, Aree Wiboonpongse
• التنسيق: Book Series
• منشور في: 2018
• الموضوعات: Computer Science; Engineering
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897843679&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/53412

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...