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.
Parham, G., Daneshkhah, A., & Chatrabgoun, O. (2013). Approximation Multivariate Distribution of Main Indices of Tehran Stock Exchange with Pair-Copula. Journal of Modern Applied Statistical Methods , 12(2), 405-426. https://doi.org/10.22237/jmasm/1383279840