Journal article
Vine copulas with asymmetric tail dependence and applications to financial return data
Computational statistics & data analysis, Vol.56(11), pp.3659-3673
11/2012
Handle:
https://hdl.handle.net/2376/110894
Abstract
It has been shown that vine copulas constructed from bivariate t copulas can provide good fits to multivariate financial asset return data. However, there might be stronger tail dependence of returns in the joint lower tail of assets than the upper tail. To this end, vine copula models with appropriate choices of bivariate reflection asymmetric linking copulas will be used to assess such tail asymmetries. Comparisons of various vine copulas are made in terms of likelihood fit and forecasting of extreme quantiles.
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Details
- Title
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Creators
- Aristidis K Nikoloulopoulos - School of Computing Sciences, University of East Anglia, Norwich, NR4 7TJ, UKHarry Joe - Department of Statistics, University of British Columbia, Vancouver, BC, V6T 1Z2, CanadaHaijun Li - Department of Mathematics, Washington State University, Pullman, WA 99164, USA
- Publication Details
- Computational statistics & data analysis, Vol.56(11), pp.3659-3673
- Academic Unit
- Mathematics and Statistics, Department of
- Publisher
- Elsevier B.V
- Identifiers
- 99900547346201842
- Language
- English
- Resource Type
- Journal article