Models for construction of multivariate dependence – a comparison study

By Kjersti Aas, Daniel Berg. 2009

284 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/4b2b0f31dc3865bf9f42df707d0c5d11818da5a4

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Citations in the corpus

Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy (2013, background): “The GARCH(1,1) specification of the marginals is, however, in line with the vast majority of studies on copula models for VaR-estimation (Jondeau and Rockinger 2006; Fantazzini 2009b; Liu and Luger 2009; Aas and Berg 2009; Ausin and Lopes 2010; Hafner and Reznikova 2010). Moreover, results by Hansen”
A continuous rainfall model based on vine copulas (2015, unknown): “The literature on vine copulas reports very similar simulation algorithms (Aas and Berg, 2009; Aas et al., 2009).”
Pair‐copula constructions for non‐Gaussian DAG models (2012, methodology): “Applications to financial data have shown that these vine-PCC models outperform other multivariate copula models in predicting log-returns of equity portfolios, see Aas & Berg (2009), Chollete, Heinen, & Valdesogo (2009), Fischer et al. (2009), and Czado, Schepsmeier, &Min (2011).”
Pair-copulas modeling in finance (2010, background): “A few papers provide applications in ̄nance, but most of them just ̄t a pair-copula to the data, see Min and Czado (2008), Aas, Czado, Frigessi, and Bakken (2007), Berg and Aas (2008), Fischer, KÄock, SchlÄ uter and Weigert (2008), among others.”
A framework of change‐point detection for multivariate hydrological series (2015, background): “…to construct the dependence structure of multivariate hydrological series, i.e., symmetric copula [Joe, 1997; Nelsen, 2006; Zhang and Singh, 2007; Aas and Berg, 2009], asymmetric copula [Joe, 1997; Nelsen, 2006; Grimaldi and Serinaldi, 2006; Serinaldi and Grimaldi, 2007; Aas and Berg, 2009], and…”