Vine copulas with asymmetric tail dependence and applications to financial return data

Aristidis K. Nikoloulopoulos, Harry Joe, Haijun Li

Research output: Contribution to journalArticlepeer-review

117 Citations (Scopus)

Abstract

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 asymmetries. Comparisons of various vine copulas are made in terms of likelihood fit and forecasting of extreme quantiles.
Original languageEnglish
Pages (from-to)3659-3673
Number of pages15
JournalComputational Statistics and Data Analysis
Volume56
Issue number11
DOIs
Publication statusPublished - Nov 2012

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