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An Econometric Study of Vine Copulas

Dominique Guegan and Pierre-André Maugis

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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: Vines copulas; conditional copulas; risk management (search for similar items in EconPapers)
JEL-codes: C10 C40 C52 D81 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2010-05
New Economics Papers: this item is included in nep-ecm and nep-rmg
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Citations: View citations in EconPapers (16) Track citations by RSS feed

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ftp://mse.univ-paris1.fr/pub/mse/CES2010/10040.pdf (application/pdf)

Related works:
Working Paper: An econometric Study for Vine Copulas (2011) Downloads
Working Paper: An Econometric Study of Vine Copulas (2010) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:10040

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