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Keywords: vine copula modelling
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2022) 39 (2): 177–192.
Published: 03 February 2022
... and uses it as the marginal distribution model to establish the vine copula model. The maximum spanning tree algorithm is used to select the optimal rattan structure model and pair-copula function. According to the final ARMA-GARCH-R-vine copula model, the tail correlation coefficients of the UK, France...
