Vine copulas with asymmetric tail dependence and applications to financial return data. (English) Zbl 1254.91613
Summary: 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.
MSC:
| 91B82 | Statistical methods; economic indices and measures |
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
| 62H05 | Characterization and structure theory for multivariate probability distributions; copulas |
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