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14-054/III - Risk Measurement and Risk Modelling using Applications of Vine Copulas


  • Authors
    David E. Allen, Sydney University, NSW, University of South Australia, Adelaide, Australia; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus School of Economics, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain; Abhay K. Singh, Edith Cowan University, Australia
  • Publication date
    May 8, 2014
  • Keywords
    Regular Vine Copulas, Tree structures, Co-dependence modelling, European stock markets
  • JEL
    G11, C02