EconPapers    
Economics at your fingertips  
 

Note on new prospects on vines

Pierre-André Maugis and Dominique Guegan

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: In this paper, we present a new methodology based on vine copulas to estimate multivariate distributions in high dimensions, taking advantage of the diversity of vine copulas. Considering the huge number of vine copulas in dimension n, we introduce an efficient selection algorithm to build and select vine copulas with respect to any test T. Our methodology offers a great flexibility to practitioners to compute VaR associated to a portfolio in high dimension.

Keywords: Vines; multivariate copulas; model selection (search for similar items in EconPapers)
Date: 2010
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00471362
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Published in Insurance Markets and Companies : Analyses and Actuarial Computations, 2010, 1 (1), pp.15-22

Downloads: (external link)
https://halshs.archives-ouvertes.fr/halshs-00471362/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00471362

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2022-08-11
Handle: RePEc:hal:cesptp:halshs-00471362