Note on new prospects on vines

Pierre-André Maugis and Dominique Guegan ()
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Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement

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://shs.hal.science/halshs-00471362v1
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Published in Insurance Markets and Companies : Analyses and Actuarial Computations, 2010, 1 (1), pp.15-22

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