Estimation of Contagion: Bayesian Model Averaging on Tail Dependence of Mixture Copula

Estimation of Contagion: Bayesian Model Averaging on Tail Dependence of Mixture Copula

This study introduces a novel approach to estimate tail dependence in financial contagion using mixture copulas. Addressing the challenges of weight parameter estimation in conventional models, we propose a Bayesian model averaging method to determine optimal copula weights. Through both simulations...

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Bibliographic Details
Main Authors: Sundusit Saekow, Phisanu Chiawkhun, Woraphon Yamaka, Nawapon Nakharutai, Parkpoom Phetpradap
Format: Article
Language:English
Published: MDPI AG 2024-10-01
Series:Mathematics
Subjects:
Bayesian model averaging
contagion
copula
tail dependence
Online Access:https://www.mdpi.com/2227-7390/12/21/3350

Internet

https://www.mdpi.com/2227-7390/12/21/3350

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