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