Browsing FGV EESP - Textos para Discussão / Working Paper Series by Author "Ziegelmann, Flávio Augusto"

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    • Dynamic D-Vine copula model with applications to Value-at-Risk (VaR) 

      Tófoli, Paula Virgínia; Ziegelmann, Flávio Augusto; Silva Filho, Osvaldo Candido; Pereira, Pedro L. Valls
      2016-06-22
      Regular vine copulas are multivariate dependence models constructed from pair-copulas (bivariate copulas). In this paper, we allow the dependence parameters of the pair-copulas in a D-vine decomposition to be potentially ...