Univariate conditioning of vine copulas

• 作 者: PiotrJaworski;
• 机 构: Institute of Mathematics University of Warsaw ul. Banacha 2,02-097 Warszawa,Poland
• 出 处: International Workshop on High-Dimensional Dependence and Co
• 发表日期: 2014年期

　　The interest in the construction of multivariate stochastic models describing the dependence among several variables has grown in the last years.In particular,the recent financial crisis emphasized the necessity of considering models that can serve to estimate better the occurrence of extremal events.The vine copulas proved to be an excellent tool for such purposes.