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New prospects on vines

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: 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: Vine copulas; multivariate copulas; model selection; VaR (search for similar items in EconPapers)
JEL-codes: C10 C40 C52 D81 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2008-12, Revised 2010-03
New Economics Papers: this item is included in nep-ecm and nep-rmg
References: Add references at CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed

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ftp://mse.univ-paris1.fr/pub/mse/CES2008/B08095.pdf (application/pdf)

Related works:
Working Paper: New Prospects on Vines (2010) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:b08095

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