Pricing multi-asset financial products with tail dependence using copulas
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منابع مشابه
Vine copulas with asymmetric tail dependence and applications to financial return data 1
In Aas et al. (2009) and Aas and Berg (2009), it is shown that vine copulas constructed from bivariate t-copulas can provide better fits to multivariate financial asset return data. Several published articles indicate that for several assets there might be stronger tail dependence of returns in the joint lower tail than upper tail. We use vine copula models with appropriate choices of bivariate...
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It has been shown that vine copulas constructed from bivariate t copulas can provide good fits to multivariate financial asset return data. However, there might be stronger tail dependence of returns in the joint lower tail of assets than the upper tail. To this end, vine copula models with appropriate choices of bivariate reflection asymmetric linking copulas will be used to assess such tail a...
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