Why are vine copulas so successful in econometrics?

• المؤلفون الرئيسيون: Songsak Sriboonchitta, Olga Kosheleva, Hung T. Nguyen
• التنسيق: دورية
• منشور في: 2018
• الموضوعات: Computer Science; Engineering
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84954055176&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/54313
• المؤسسة: Chiang Mai University

© 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...