Vine copulas structures modeling on Russian stock market
Pair-copula constructions have proven to be a useful tool in statistical modeling, particularly in the field of finance. The copula-based approach can be used to choose a model that describes the dependence structure and marginal behaviour of the data in efficient way, but is usually applied to pair...
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| Format: | Article |
| Language: | English |
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Peoples’ Friendship University of Russia (RUDN University)
2019-12-01
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| Series: | Discrete and Continuous Models and Applied Computational Science |
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| Online Access: | http://journals.rudn.ru/miph/article/viewFile/22916/17810 |