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 language | English |
|---|---|
| Pages (from-to) | 405-426 |
| Number of pages | 22 |
| Journal | Journal of Modern Applied Statistical Methods |
| Volume | 12 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 2013 |