Truncated regular vines in high dimensions with application to financial data

Brechmann, Eike C.; Czado, Claudia; Aas, Kjersti

December 20, 2010

SAMBA

• Areas: Finance, insurance and commodity markets
• Keywords: Multivariate copula, regular vines, truncated vines, simplified vines
• Page(s): 43
• Name and number of project: SFI02-Risk
• Title: Truncated regular vines in high dimensions with application to financial data
• Author(s): Brechmann, Eike C.; Czado, Claudia; Aas, Kjersti
• Report number: SAMBA/60./10
• Published date: December 20, 2010