Pair-Copula Constructions for Financial Applications: A Review

By Kjersti Aas. 2016

83 citations recorded by the source corpus.

This survey reviews the large and growing literature on the use of pair-copula constructions (PCCs) in financial applications. Using a PCC, multivariate data that exhibit complex patterns of dependence can be modeled using bivariate copulae as simple building blocks. Hence, this model represents a very flexible way of constructing higher-dimensional copulae. In this paper, we survey inference methods and goodness-of-fit tests for such models, as well as empirical applications of the PCCs in finance and economics.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8ef866c62f2beb49838144758b07c65ba3996a2a