Vitenskapelig oversiktsartikkel/review   2016

Aas, Kjersti

Publikasjonsdetaljer

Tidsskrift:

Econometrics, vol. 4, p. 15, 2016

Utgiver:

MDPI

Utgave:

4

Internasjonale standardnumre:

Trykt: 2225-1146
Elektronisk: 2225-1146

Lenker:

DOI: doi.org/10.3390/econometrics4040043

This survey reviews the large and growing literature on the use of pair-copula constructions (PCCs) in financial applications. Using a PCC, multivariate data that exhibit complex patterns of dependence can be modeled using bivariate copulae as simple building blocks. Hence, this model represents a very flexible way of constructing higher-dimensional copulae. In this paper, we survey inference methods and goodness-of-fit tests for such models, as well as empirical applications of the PCCs in finance and economics.