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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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 |
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Thailand |
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CMU Intellectual Repository |
| topic |
Computer Science Engineering |
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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 |
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