【摘 要】
：
Vine copulas have attracted considerable attention from financial economists and statisticians in the past years due to their flexibility for modeling high-
【机 构】
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TUDortmundUniversityFacultyofEconomicsandSocialSciencesAssistantProfessorofFinanceOtto-Hahn-Str.6a(r
【出 处】
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International Workshop on High-Dimensional Dependence and Co
论文部分内容阅读
Vine copulas have attracted considerable attention from financial economists and statisticians in the past years due to their flexibility for modeling high-dimensional dependence structures.Consequently,vine copulas have been used extensively in the analysis of stock portfolio risks,asset pricing and insurance loss distributions.However,applications of vine copulas on variables other than stock returns are still rare.In this presentation,I will talk about several new applications of vine copulas in financial economics.In particular,I will present some results from recent published work on the modeling of the liquidity of financial assets and some new results from work on the use of Google Trend data in finance.
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