Vine copulas with asymmetric tail dependence and applications to financial return data

Nikoloulopoulos, Aristidis K. ORCID: https://orcid.org/0000-0003-0853-0084, Joe, Harry and Li, Haijun (2012) Vine copulas with asymmetric tail dependence and applications to financial return data. Computational Statistics and Data Analysis, 56 (11). pp. 3659-3673.

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Abstract

It has been shown that vine copulas constructed from bivariate t copulas can provide good fits to multivariate financial asset return data. However, there might be stronger tail dependence of returns in the joint lower tail of assets than the upper tail. To this end, vine copula models with appropriate choices of bivariate reflection asymmetric linking copulas will be used to assess such tail asymmetries. Comparisons of various vine copulas are made in terms of likelihood fit and forecasting of extreme quantiles.

Item Type:	Article
Faculty \ School:	Faculty of Science > School of Computing Sciences
UEA Research Groups:	Faculty of Science > Research Groups > Data Science and AI Faculty of Science > Research Groups > Statistics (former - to 2024) Faculty of Science > Research Groups > Numerical Simulation, Statistics & Data Science
Depositing User:	Vishal Gautam
Date Deposited:	11 Mar 2011 16:32
Last Modified:	07 Nov 2024 12:32
URI:	https://ueaeprints.uea.ac.uk/id/eprint/23261
DOI:	10.1016/j.csda.2010.07.016

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