Maximum likelihood estimation of mixed C-vines with application to exchange rates

By Claudia Czado, Ulf Schepsmeier, Aleksey Min. 2012

221 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/804e56d8e18ee599fe1c82760da629908140dbc3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Eike C. Brechmann
2. Claudia Czado
3. Kjersti Aas
4. Duc Khuong Nguyen
5. Ulf Schepsmeier
6. Shawkat Hammoudeh
7. Dorota Kurowicka
8. Jeffrey F. Dißmann

In Finance

1. Claudia Czado
2. Eike C. Brechmann
3. Kjersti Aas
4. Ulf Schepsmeier
5. Duc Khuong Nguyen
6. Jeffrey F. Dißmann
7. Shawkat Hammoudeh
8. Dorota Kurowicka

In Statistics and Probability

1. Eike C. Brechmann
2. Claudia Czado
3. Ulf Schepsmeier
4. Kjersti Aas
5. Dorota Kurowicka
6. Jeffrey F. Dißmann
7. Duc Khuong Nguyen
8. Jose Arreola Hernandez

Citations in the corpus

• Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013, methodology): “Using the C-vine structure selection criterion described by Czado et al. (2012) we determine ˆFCHI as the first root node (C-vine tree with strongest dependencies in terms of absolute empirical values of pairwise Kendall’s τ ’s; this is the first part of Step 1 in the proposed workflow in Figure 2).”
• Selecting and estimating regular vine copulae and application to financial returns (2012, methodology): “Czado (2010) provides a current survey about these statistical model classes and Joe et al. (2010) investigate and discuss tail dependence properties of vine distributions.”
• Parameter estimation for pair-copula constructions (2013, unknown): “[10, 11]), exhibiting its adequacy for various applications.”
• Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (2013, methodology): “For C-vine tree selection, we simply choose as root node the node that maximizes the sum of pairwise dependencies to this node (see Czado et al. (2012)).”
• The shifting dependence dynamics between the G7 stock markets (2018, unknown): “Hobæk Haff et al. (2010), Czado et al. (2012) assert that this simplifying assumption is ‘a rather good approximation’.”
• Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios (2015, background): “Aloui et al. (2011) find evidence of asymmetric dependence of stock returns between the BRIC and U.S. markets. e.g., Aas et al., 2009; Czado et al., 2012,2013).”
• Truncated regular vines in high dimensions with application to financial data (2012, background): “See Dißmann et al. (2011) for more details, and Brechmann (2010, Section 3.”
• Pair-Copula Constructions for Financial Applications: A Review (2016, background): “Since then, these constructions have been used for equities [48,53,61–63], interest rates [48,64,65], exchange rates [61,66–69], electricity prices and other commodities [61,70–74] and housing prices [75].”