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Financial dependence analysis: applications of vine copulas [PDF]
Statistica Neerlandica, 2013 This paper features the application of a novel and recently developed method of statistical and mathematical analysis to the assessment of financial risk, namely regular vine copulas. Dependence modelling using copulas is a popular tool in financial applications but is usually applied to pairs of securities.
Allen, David E. +4 more
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A geometric investigation into the tail dependence of vine copulas [PDF]
Journal of Multivariate Analysis, 2021 Vine copulas are a type of multivariate dependence model, composed of a collection of bivariate copulas that are combined according to a specific underlying graphical structure. Their flexibility and practicality in moderate and high dimensions have contributed to the popularity of vine copulas, but relatively little attention has been paid to their ...
Emma S. Simpson +2 more
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Copulas as High-Dimensional Generative Models: Vine Copula Autoencoders
CoRR, 2019 We introduce the vine copula autoencoder (VCAE), a flexible generative model for high-dimensional distributions built in a straightforward three-step procedure. First, an autoencoder (AE) compresses the data into a lower dimensional representation. Second, the multivariate distribution of the encoded data is estimated with vine copulas.
Tagasovska, Natasa +2 more
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Axioms, 2022 This paper introduces methodologies in forecasting oil prices (Brent and WTI) with multivariate time series of major S&P 500 stock prices using Gaussian process modeling, deep learning, and vine copula regression.
Jong-Min Kim, Hope H. Han, Sangjin Kim
doaj +1 more source
Tail dependence functions and vine copulas
Journal of Multivariate Analysis, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Harry Joe +2 more
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An Econometric Study of Vine Copulas [PDF]
International Journal of Economics and Finance, 2010 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 ...
Dominique Guegan, Pierre-André Maugis
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Statistical arbitrage with vine copulas [PDF]
Quantitative Finance, 2018 We develop a multivariate statistical arbitrage strategy based on vine copulas—a highly flexible instrument for linear and nonlinear multivariate dependence modeling.
Stübinger, Johannes +2 more
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Pair-copula constructions of multiple dependence [PDF]
, 2006 Building on the work of Bedford, Cooke and Joe, we show how multivariate data, which exhibit complex patterns of dependence in the tails, can be modelled using a cascade of pair-copulae, acting on two variables at a time.
Aas, Kjersti +3 more
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Energy Science & Engineering, 2021 To consider the failure correlation among key subsystems, based on the reliability allocation method of the series system, a wind turbine reliability allocation calculation method based on the vine copula correlation model is proposed.
Yuanyuan Wu, Wenlei Sun
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Vine copula statistical disclosure control for mixed-type data
, 2022 In this paper, we develop a new statistical disclosure control (SDC) method for mixed-type data based on vine copulas. The use of Gaussian and skew-t copulas has been demonstrated to be capable of incorporating information from the marginal distributions
So, Mike K.P. +3 more
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