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

• Grant number: 09/11104-6
• Support Opportunities: Scholarships in Brazil - Master
• Start date: March 01, 2010
• End date: February 29, 2012
• Field of knowledge: Physical Sciences and Mathematics - Probability and Statistics - Applied Probability and Statistics
• Principal Investigator: Luiz Koodi Hotta
• Grantee: Caroline de Freitas Sakamoto
• Host 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.

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, Estatística e Ciência da Computação Campinas, SP.