EconPapers    
Economics at your fingertips  
 

An Econometric Study of Vine Copulas

Dominique Guegan and Pierre-André Maugis

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

Abstract: We present a new recursive algorithm to construct vine copulas based on an underlying tree structure. This new structure is interesting to compute multivariate distributions for dependent random variables. We proove the asymptotic normality of the vine copula parameter estimator and show that all vine copula parameter estimators have comparable variance. Both results are crucial to motivate any econometrical work based on vine copulas. We provide an application of vine copulas to estimate the VaR of a portfolio, and show they offer significant improvement as compared to a benchmark estimator based on a GARCH model.

Keywords: copules multivariées; gestion des risques.; Vines; multivariate copulas; risk management. (search for similar items in EconPapers)
Date: 2010-05
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00492124
References: Add references at CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed

Published in 2010

Downloads: (external link)
https://halshs.archives-ouvertes.fr/halshs-00492124/document (application/pdf)

Related works:
Working Paper: An econometric Study for Vine Copulas (2011) Downloads
Working Paper: An Econometric Study of Vine Copulas (2010) Downloads
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-00492124

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-00492124