Approximation Multivariate Distribution of Main Indices of Tehran Stock Exchange with Pair-Copula
نویسندگان
چکیده
The multivariate distribution of five main indices of Tehran stock exchange is approximated using a pair-copula model. A vine graphical model is used to produce an í µí±-dimensional copula. This is accomplished using a flexible copula called a minimum information (MI) copula as a part of pair-copula construction. Obtained results show that the achieved model has a good level of approximation.
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