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Construction of Multivariate Distributions With Asymmetric Dependence: Hierarchical Arquimedean Copula, Pair-Copula and Students t Copula.

Grant number: 09/11104-6
Support type:Scholarships in Brazil - Master
Effective date (Start): March 01, 2010
Effective date (End): February 29, 2012
Field of knowledge:Physical Sciences and Mathematics - Probability and Statistics - Applied Probability and Statistics
Principal researcher:Luiz Koodi Hotta
Grantee:Caroline de Freitas Sakamoto
Home Institution: Instituto de Matemática, Estatística e Computação Científica (IMECC). Universidade Estadual de Campinas (UNICAMP). Campinas , SP, Brazil
Associated research grant:08/51097-6 - Time Series, Dependence Analysis and Applications, AP.TEM

Abstract

The construction of multivariate distributions with asymmetric dependencies, especially with complex tail dependence is a necessary requirement in many applications, particularly in finance. The theory of copulas can be very useful in this task. In this sense, some of the proposals suggested in the literature are Archimedean hierarchical models, pair-copula models and t-Student copula. The choice of appropriate methodology for each situation is still hampered by several issues. The project focuses on some of these issues: a comparison of the properties of the models, construction and estimation of copulas. In all models there is a difficulty to jointly estimating the parameters of the models. The project emphasizes the comparison of the dependencies in the tails and the joint estimation of parameters in the three classes of models.

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Academic Publications
(References retrieved automatically from State of São Paulo Research Institutions)
SAKAMOTO, Caroline de Freitas. Construction of multivariate distributions wits asymmetric dependence : hierarchical arquimedean copula, pair-copula and t-student copula. 2012. Master's Dissertation - Universidade Estadual de Campinas (UNICAMP). Instituto de Matemática.

Please report errors in scientific publications list by writing to: cdi@fapesp.br.