Models for construction of multivariate dependence

By Daniel Berg, Kjersti Aas. 2007

61 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c89061e1b99e2039ba6b58bbd1d64acac0116703

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Citations in the corpus

Operational Risk Quantification Using Extreme Value Theory and Copulas: From Theory to Practice (2009, unknown): “We refer to the paper of Berg and Aas (2007) for further explanation on the benefits of such multi-dimensional copula constructions.”
Bayesian inference for multivariate copulas using pair-copula constructions. (2010, background): “According to recent empirical investigations of Berg and Aas (2007) and Fischer et al. (2007), the vine constructions based on bivariate t−copulas provide a better fit to multivariate financial data than other multivariate copula constructions such as a hierarchical Archimedean construction (Savu…”
Parameter estimation for pair-copula constructions (2013, methodology): “Moreover, this is one of the data sets studied in Berg and Aas [4], extended with the series from Lørenskog.”
A new copula approach for high-dimensional real world portfolios (2012, unknown): “, Berg and Aas [6]).”
About the number of vines and regular vines on n nodes (2010, background): “More recently they are being applied in statistical analysis of multivariate data sets [1], [3], [2] and [5].”
Pair-Copula Constructions for Financial Applications: A Review (2016, methodology): “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].”
Hierarchies of Archimedean copulas (2010, background): “Berg and Aas (2007) compare pair-copula models with nested Archimedean copulas.”
Pair-Copula Constructions of Multivariate Copulas (2010, methodology): “PCC models have been compared to alternative copula based models in [7, 19] and again the PCC models performed very well among a large class of competitors.”
Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model (2009, unknown): “Bedford & Cooke (2002) introduce canonical vine copulas and Aas et al. (2009) and Berg & Aas (2007), whose presentation we follow here, are the first to use them in a financial application.”
Modeling International Financial Returns with a Multivariate Regime Switching Copula (2009, unknown): “These copulas were first used in finance by Aas et al. (2007) and Berg & Aas (2007), whose presentation we follow here.”