Pair-copulas modeling in finance

被引：58

作者：

Vaz de Melo Mendes B. ^{[1
,2
]}

Mendes Semeraro M. ^{[1
,2
]}

Câmara Leal R.P. ^{[2
]}

机构：

[1] IM/COPPEAD, Federal University at Rio de Janeiro, Rio de Janeiro

[2] COPPEAD, Federal University at Rio de Janeiro, Rio de Janeiro

来源：

Financial Markets and Portfolio Management | 2010年 / 24卷 / 2期

关键词：

Markowitz mean variance model; Multivariate modeling; Pair-copulas;

D O I：

10.1007/s11408-010-0130-1

中图分类号：

学科分类号：

摘要：

This paper concerns itself with applications of pair-copulas in finance, and bridges the gap between theory and application. We provide a broad view of the problem of modeling multivariate financial log-returns using pair-copulas, gathering together for this purpose theoretical and computational results from the literature on canonical vines. From the practitioner's viewpoint, the paper shows the advantages of modeling through pair-copulas and makes clear that it is possible to implement this methodology on a daily basis. All the necessary steps (model selection, estimation, validation, simulations, and applications) are discussed at a level easily understood by all data analysts. © 2010 Swiss Society for Financial Market Research.

引用

页码：193 / 213

页数：20

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