Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171900
Authors: 
Aas, Kjersti
Year of Publication: 
2016
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 4 [Year:] 2016 [Issue:] 4 [Pages:] 1-15
Abstract: 
This survey reviews the large and growing literature on the use of pair-copula constructions (PCCs) in financial applications. Using a PCC, multivariate data that exhibit complex patterns of dependence can be modeled using bivariate copulae as simple building blocks. Hence, this model represents a very flexible way of constructing higher-dimensional copulae. In this paper, we survey inference methods and goodness-of-fit tests for such models, as well as empirical applications of the PCCs in finance and economics.
Subjects: 
pair-copula constructions
vines
dependence
conditional distribution
flexibility
JEL: 
C13
C15
C51
C52
C53
C58
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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