Note on new prospects on vines

Journal article: In this paper, we present a new methodology based on vine copulas to estimate multivariate distributions in high dimensions, taking advantage of the diversity of vine copulas. Considering the huge number of vine copulas in dimension n, we introduce an efficient selection algorithm to build and select vine copulas with respect to any test T. Our methodology offers a great flexibility to practitioners to compute VaR associated to a portfolio in high dimension.

Author(s)

Pierre-André Maugis, Dominique Guegan

Journal
  • Insurance Markets and Companies : Analyses and Actuarial Computations
Date of publication
  • 2010
Keywords JEL
C1 C40 C52 D81
Pages
  • 15-22
Version
  • 1
Volume
  • 1