Universität zu Köln

Almeida, Carlos, Czado, Claudia ORCID: 0000-0002-6329-5438 and Manner, Hans (2016). Modeling high-dimensional time-varying dependence using dynamic D-vine models. Appl. Stoch. Models. Bus. Ind., 32 (5). S. 621 - 639. HOBOKEN: WILEY. ISSN 1526-4025

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Abstract

We consider the problem of modeling the dependence among many time series. We build high-dimensional time-varying copula models by combining pair-copula constructions with stochastic autoregressive copula and generalized autoregressive score models to capture dependence that changes over time. We show how the estimation of this highly complex model can be broken down into the estimation of a sequence of bivariate models, which can be achieved by using the method of maximum likelihood. Further, by restricting the conditional dependence parameter on higher cascades of the pair copula construction to be constant, we can greatly reduce the number of parameters to be estimated without losing much flexibility. Applications to five MSCI stock market indices and to a large dataset of daily stock returns of all constituents of the Dax 30 illustrate the usefulness of the proposed model class in-sample and for density forecasting. Copyright (c) 2016 John Wiley & Sons, Ltd.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Almeida, Carlos UNSPECIFIED UNSPECIFIED UNSPECIFIED Czado, Claudia UNSPECIFIED orcid.org/0000-0002-6329-5438 UNSPECIFIED Manner, Hans UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-263645
DOI:	10.1002/asmb.2182
Journal or Publication Title:	Appl. Stoch. Models. Bus. Ind.
Volume:	32
Number:	5
Page Range:	S. 621 - 639
Date:	2016
Publisher:	WILEY
Place of Publication:	HOBOKEN
ISSN:	1526-4025
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language PAIR-COPULA CONSTRUCTIONS; RISK Multiple languages Operations Research & Management Science; Mathematics, Interdisciplinary Applications; Statistics & Probability Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/26364