In this paper we estimated pair copula constructions (PCC) for three sets of markets: developed, Latin emerging and …

In this paper we estimated pair copula constructions (PCC) for three sets of markets: developed, Latin emerging and …

multidimensional probability distributions. It describes pair-copula functions (including the concept of canonical and D …

-of-fit (GoF) tests which are independent of the particular financial problem. This paper ¯rst proposes a pair-copula-GARCH model …-Clayton copula and the Student t copula as building blocks for the vine pair-copula decomposition. Value at risk, expected shortfall … approaches, the proposed pair-copula-GARCH model provides simulated asset returns for generating future scenarios of portfolio …

called the pair-copula decomposition to model the joint conditional distribution of the returns on stocks constituting the …

are continuous. It is based on pair copula constructions (PCCs) and has two major advantages over existing methodology …

A pair-copula construction is a decomposition of a multivariate copula into a structured system, called regular vine …, of bivariate copulae or pair-copulae. The standard practice is to model these pair-copulae parametrically, inducing a … model risk, with errors potentially propagating throughout the vine structure. The empirical pair-copula provides a …

Vine pair-copula constructions (PCCs) provide an important milestone for the usage of multivariate copulas to model …