Pair-copula constructions of multiple dependence

Aas, Kjersti; Czado, Claudia; Frigessi, Arnoldo; Bakken, Henrik

August 22, 2006

SAMBA

• Areas: Finance, insurance and the electricity market
• Keywords: Pair-copulae, vines, conditional distribution, decomposition, multivariate distribution
• Page(s): 45
• Name and number of project: 220095
• Title: Pair-copula constructions of multiple dependence
• Author(s): Aas, Kjersti; Czado, Claudia; Frigessi, Arnoldo; Bakken, Henrik
• Report number: SAMBA/24/06
• Published date: August 22, 2006