Browsing by Author "Parham, Gholamali"
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Item Open Access Approximation multivariate distribution of main indices of tehran stock exchange with pair-copula(College of Education, Wayne State University, 2013-11-01T00:00:00Z) Parham, Gholamali; Daneshkhah, Alireza; Chatrabgoun, OmidThe 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.