Why are vine copulas so successful in econometrics?

© 2015 World Scientific Publishing Company. One of the most empirically successful tools for studying dependence between different quantities in econometrics is the tool of vine copulas. In this paper, we explain this empirical success by showing that the most widely used vine copulas are, in effect...

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Main Authors:	Songsak Sriboonchitta, Olga Kosheleva, Hung T. Nguyen
Format:	Journal
Published:	2018
Subjects:	Computer Science Engineering
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84954055176&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/54313
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-54313
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spelling	th-cmuir.6653943832-543132018-09-04T10:14:16Z Why are vine copulas so successful in econometrics? Songsak Sriboonchitta Olga Kosheleva Hung T. Nguyen Computer Science Engineering © 2015 World Scientific Publishing Company. One of the most empirically successful tools for studying dependence between different quantities in econometrics is the tool of vine copulas. In this paper, we explain this empirical success by showing that the most widely used vine copulas are, in effect, the results of using the general fuzzy methodology. To be more precise, vine copulas correspond to a natural extension of the traditional fuzzy methodology, when we allow several different "and"-operations (t-norms), and some of these t-norms can be nonassociative. 2018-09-04T10:11:45Z 2018-09-04T10:11:45Z 2015-12-01 Journal 02184885 2-s2.0-84954055176 10.1142/S0218488515400103 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84954055176&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/54313
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Computer Science Engineering
spellingShingle	Computer Science Engineering Songsak Sriboonchitta Olga Kosheleva Hung T. Nguyen Why are vine copulas so successful in econometrics?
description	© 2015 World Scientific Publishing Company. One of the most empirically successful tools for studying dependence between different quantities in econometrics is the tool of vine copulas. In this paper, we explain this empirical success by showing that the most widely used vine copulas are, in effect, the results of using the general fuzzy methodology. To be more precise, vine copulas correspond to a natural extension of the traditional fuzzy methodology, when we allow several different "and"-operations (t-norms), and some of these t-norms can be nonassociative.
format	Journal
author	Songsak Sriboonchitta Olga Kosheleva Hung T. Nguyen
author_facet	Songsak Sriboonchitta Olga Kosheleva Hung T. Nguyen
author_sort	Songsak Sriboonchitta
title	Why are vine copulas so successful in econometrics?
title_short	Why are vine copulas so successful in econometrics?
title_full	Why are vine copulas so successful in econometrics?
title_fullStr	Why are vine copulas so successful in econometrics?
title_full_unstemmed	Why are vine copulas so successful in econometrics?
title_sort	why are vine copulas so successful in econometrics?
publishDate	2018
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84954055176&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/54313
_version_	1681424297722118144

Why are vine copulas so successful in econometrics?

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