Pair-Copula Constructions for Financial Applications: A Review
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 v...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2016-10-01
|
| Series: | Econometrics |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2225-1146/4/4/43 |
| _version_ | 1811302434184626176 |
|---|---|
| author | Kjersti Aas |
| author_facet | Kjersti Aas |
| author_sort | Kjersti Aas |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-13T07:27:45Z |
| format | Article |
| id | doaj.art-62058b1094fb49409e286c95ea2c297c |
| institution | Directory Open Access Journal |
| issn | 2225-1146 |
| language | English |
| last_indexed | 2024-04-13T07:27:45Z |
| publishDate | 2016-10-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Econometrics |
| spelling | doaj.art-62058b1094fb49409e286c95ea2c297c2022-12-22T02:56:26ZengMDPI AGEconometrics2225-11462016-10-01444310.3390/econometrics4040043econometrics4040043Pair-Copula Constructions for Financial Applications: A ReviewKjersti Aas0Department of Statistical Analysis, Image Analysis and Machine Learning, Norwegian Computing Center, N-0314 Oslo, NorwayThis 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.http://www.mdpi.com/2225-1146/4/4/43pair-copula constructionsvinesdependenceconditional distributionflexibility |
| spellingShingle | Kjersti Aas Pair-Copula Constructions for Financial Applications: A Review Econometrics pair-copula constructions vines dependence conditional distribution flexibility |
| title | Pair-Copula Constructions for Financial Applications: A Review |
| title_full | Pair-Copula Constructions for Financial Applications: A Review |
| title_fullStr | Pair-Copula Constructions for Financial Applications: A Review |
| title_full_unstemmed | Pair-Copula Constructions for Financial Applications: A Review |
| title_short | Pair-Copula Constructions for Financial Applications: A Review |
| title_sort | pair copula constructions for financial applications a review |
| topic | pair-copula constructions vines dependence conditional distribution flexibility |
| url | http://www.mdpi.com/2225-1146/4/4/43 |
| work_keys_str_mv | AT kjerstiaas paircopulaconstructionsforfinancialapplicationsareview |