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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