SCOMDY models based on pair-copula constructions with application to exchange rates

Aleksey Min; Claudia Czado

doi:10.1016/j.csda.2012.08.003

SCOMDY models based on pair-copula constructions with application to exchange rates

Aleksey Min, Claudia Czado

Research output: Contribution to journal › Article › peer-review

22 Scopus citations

Abstract

Vine pair-copula constructions (PCCs) provide an important milestone for the usage of multivariate copulas to model dependence. At present time PCCs are recognized to be the most flexible class of multivariate copulas. Vine PCCs and semiparametric copula-based dynamic (SCOMDY) models with ARMA-GARCH margins are combined. As building blocks of the PCCs, bivariate t-copulas are used. Exchange rates are considered as an application and their dependence structure is modelled using regular and canonical vines. A non-nested model comparison of the above SCOMDY models is performed using the adapted Voung's test.

Original language	English
Pages (from-to)	523-535
Number of pages	13
Journal	Computational Statistics and Data Analysis
Volume	76
DOIs	https://doi.org/10.1016/j.csda.2012.08.003
State	Published - Aug 2014

Keywords

Exchange rates
GARCH-ARMA margins
Multivariate copula
Pair-copula construction
Vines

Access to Document

10.1016/j.csda.2012.08.003

Cite this

@article{4917c4b25dfe47cfaa27f92bcceac25d,

title = "SCOMDY models based on pair-copula constructions with application to exchange rates",

abstract = "Vine pair-copula constructions (PCCs) provide an important milestone for the usage of multivariate copulas to model dependence. At present time PCCs are recognized to be the most flexible class of multivariate copulas. Vine PCCs and semiparametric copula-based dynamic (SCOMDY) models with ARMA-GARCH margins are combined. As building blocks of the PCCs, bivariate t-copulas are used. Exchange rates are considered as an application and their dependence structure is modelled using regular and canonical vines. A non-nested model comparison of the above SCOMDY models is performed using the adapted Voung's test.",

keywords = "Exchange rates, GARCH-ARMA margins, Multivariate copula, Pair-copula construction, Vines",

author = "Aleksey Min and Claudia Czado",

note = "Funding Information: Claudia Czado gratefully acknowledges the financial support from the Deutsche Forschungsgemeinschaft ( Cz 86/1-3 ). The authors are very grateful to Rada Dakovic and Tanja Baumann for programming assistance and explorative data analysis of the exchange rate data. The numerical computations were performed on a Linux cluster supported by DFG grant INST 95/919-1 FUGG.",

year = "2014",

month = aug,

doi = "10.1016/j.csda.2012.08.003",

language = "English",

volume = "76",

pages = "523--535",

journal = "Computational Statistics and Data Analysis",

issn = "0167-9473",

publisher = "Elsevier",

}

TY - JOUR

T1 - SCOMDY models based on pair-copula constructions with application to exchange rates

AU - Min, Aleksey

AU - Czado, Claudia

N1 - Funding Information: Claudia Czado gratefully acknowledges the financial support from the Deutsche Forschungsgemeinschaft ( Cz 86/1-3 ). The authors are very grateful to Rada Dakovic and Tanja Baumann for programming assistance and explorative data analysis of the exchange rate data. The numerical computations were performed on a Linux cluster supported by DFG grant INST 95/919-1 FUGG.

PY - 2014/8

Y1 - 2014/8

N2 - Vine pair-copula constructions (PCCs) provide an important milestone for the usage of multivariate copulas to model dependence. At present time PCCs are recognized to be the most flexible class of multivariate copulas. Vine PCCs and semiparametric copula-based dynamic (SCOMDY) models with ARMA-GARCH margins are combined. As building blocks of the PCCs, bivariate t-copulas are used. Exchange rates are considered as an application and their dependence structure is modelled using regular and canonical vines. A non-nested model comparison of the above SCOMDY models is performed using the adapted Voung's test.

AB - Vine pair-copula constructions (PCCs) provide an important milestone for the usage of multivariate copulas to model dependence. At present time PCCs are recognized to be the most flexible class of multivariate copulas. Vine PCCs and semiparametric copula-based dynamic (SCOMDY) models with ARMA-GARCH margins are combined. As building blocks of the PCCs, bivariate t-copulas are used. Exchange rates are considered as an application and their dependence structure is modelled using regular and canonical vines. A non-nested model comparison of the above SCOMDY models is performed using the adapted Voung's test.

KW - Exchange rates

KW - GARCH-ARMA margins

KW - Multivariate copula

KW - Pair-copula construction

KW - Vines

UR - http://www.scopus.com/inward/record.url?scp=84901631509&partnerID=8YFLogxK

U2 - 10.1016/j.csda.2012.08.003

DO - 10.1016/j.csda.2012.08.003

M3 - Article

AN - SCOPUS:84901631509

SN - 0167-9473

VL - 76

SP - 523

EP - 535

JO - Computational Statistics and Data Analysis

JF - Computational Statistics and Data Analysis

ER -

SCOMDY models based on pair-copula constructions with application to exchange rates

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this