Extreme and Systemic Risk Analysis by Stefan Hochrainer-Stigler

Author:Stefan Hochrainer-Stigler
Language: eng
Format: epub
ISBN: 9789811526893
Publisher: Springer Singapore

(3.17)

Summarizing the techniques on how to build a multivariate copula model using spanning trees, four steps have to be taken (according to Gaupp et al. 2017): The first step involves the selection of an adequate copula structure. The selection can be based on expert knowledge (e.g., river branches in the case of flood risk) or can be found by applying minimax, C-vine or R-vine approaches. In step two, appropriate copulas have to be selected which can be done through visualization using scatterplots in the bivariate case or analytically through different goodness of fit tests such as the Kendall (Genest and Rivest 1993) or the Vuong and Clarke tests (Clarke 2007). Afterward (step three), the copula parameters are estimated and in step four, the models can be evaluated with criterions such as the already introduced AIC or BIC criterion.

Fig. 3.8Hierarchical copula example

Download

Copyright Disclaimer:
This site does not store any files on its server. We only index and link to content provided by other sites. Please contact the content providers to delete copyright contents if any and email us, we'll remove relevant links or contents immediately.