【摘 要】
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Vine copula models are a very flexible class of multivariate copula models with regard to symmetry and tail dependence for pairs of variables.The full speci
【机 构】
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TechnischeUniversit(a)tMünchenZentrumMathematikLehrstuhlfürMathematischeStatistikParkring13(Raum2.01
【出 处】
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International Workshop on High-Dimensional Dependence and Co
论文部分内容阅读
Vine copula models are a very flexible class of multivariate copula models with regard to symmetry and tail dependence for pairs of variables.The full specification of a vine model requires the choice of vine tree structure,copula families for each pair copula term and their corresponding parameters.I will discuss the different approaches,both frequentist as well as Bayesian,for these model choices so far.Applications to risk management and systemic risk will be given.This is a joint work with Eike Brechmann,Lutz Gruber and Katharina Hendrich.
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