Add to ORKGThe multivariate distribution of five main indices of Tehran stock exchange is approximated using a pair-copula model. A vine graphical model is used to produce an n-dimensional copula. This is accomplished using a flexible copula called a minimum information (MI) copula as a part of pair-copula construction. Obtained results show that the achieved model has a good level of approximation
Flexible multivariate distributions are needed in many areas. The popular multivariate Gaussian dist...
This thesis contributes to research in multivariate statistics by developing regular vine copula-bas...
Pairs trading is a widely accepted quantitative trading strategy originated from Wall Street. The in...
The multivariate distribution of five main indices of Tehran stock exchange is approximated using a ...
In a series of papers, Bedford and Cooke used vine (or pair-copulae) as a graphical tool for represe...
Many applications of risk analysis require us to jointly model multiple uncertain quantities. Bayesi...
Bayesian inference of pair-copula constriction (PCC) is used for multivariate dependency modeling of...
Abstract: It is often very difficult to accurately measure dependence structure in multivariate dist...
A pair-copula construction is a decomposition of a multivariate copula into a structured system, cal...
A construção de distribuições multivariadas com dependências assimétricas, especialmente com dependê...
Pair-copula constructions (or vine copulas) are structured, in the layout of vines, with bivariate c...
Since the global financial crash, one of the main trends in the financial engineering discipline has...
Pairs trading is a market neutral trading strategy that was first introduced and implemented by Morg...
International audienceWe present a new recursive algorithm to construct vine copulas based on an und...
Many financial modeling applications require to jointly model multiple uncertain quantities to prese...
Flexible multivariate distributions are needed in many areas. The popular multivariate Gaussian dist...
This thesis contributes to research in multivariate statistics by developing regular vine copula-bas...
Pairs trading is a widely accepted quantitative trading strategy originated from Wall Street. The in...
The multivariate distribution of five main indices of Tehran stock exchange is approximated using a ...
In a series of papers, Bedford and Cooke used vine (or pair-copulae) as a graphical tool for represe...
Many applications of risk analysis require us to jointly model multiple uncertain quantities. Bayesi...
Bayesian inference of pair-copula constriction (PCC) is used for multivariate dependency modeling of...
Abstract: It is often very difficult to accurately measure dependence structure in multivariate dist...
A pair-copula construction is a decomposition of a multivariate copula into a structured system, cal...
A construção de distribuições multivariadas com dependências assimétricas, especialmente com dependê...
Pair-copula constructions (or vine copulas) are structured, in the layout of vines, with bivariate c...
Since the global financial crash, one of the main trends in the financial engineering discipline has...
Pairs trading is a market neutral trading strategy that was first introduced and implemented by Morg...
International audienceWe present a new recursive algorithm to construct vine copulas based on an und...
Many financial modeling applications require to jointly model multiple uncertain quantities to prese...
Flexible multivariate distributions are needed in many areas. The popular multivariate Gaussian dist...
This thesis contributes to research in multivariate statistics by developing regular vine copula-bas...
Pairs trading is a widely accepted quantitative trading strategy originated from Wall Street. The in...