13-022/III - Financial Dependence Analysis: Applications of Vine Copulae

• Authors
  David E. Allen, Edith Cowan University, Australia; Mohammad A. Ashraf, Indian Institute of Technology, Kharagpur, India; Michael McAleer, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain, and Kyoto University, Japan; Robert J. Powell, Edith Cowan University, Australia; Abhay K. Singh, Edith Cowan University, Australia
• Publication date
  January 22, 2013

• Keywords
  Regular Vine Copulas, Tree structures, Co-dependence modelling
• JEL
  G11, C02