Approximation Multivariate Distribution of Main Indices of Tehran Stock Exchange with Pair-Copula

G Parham, Alireza Daneshkhah, O Chatrabgoun

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    1 Citation (Scopus)

    Abstract

    The multivariate distribution of five main indices of Tehran stock exchange is approximated using a pair-copula model. A vine graphical model is used to produce an n-dimensional copula. This is accomplished using a flexible copula called a minimum information (MI) copula as a part of pair-copula construction. Obtained results show that the achieved model has a good level of approximation.
    Original languageEnglish
    Pages (from-to)405-426
    Number of pages22
    JournalJournal of Modern Applied Statistical Methods
    Volume12
    Issue number2
    DOIs
    Publication statusPublished - 2013

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