Approximation multivariate distribution of main indices of tehran stock exchange with pair-copula

dc.contributor.author	Parham, Gholamali	-
dc.contributor.author	Daneshkhah, Alireza	-
dc.contributor.author	Chatrabgoun, Omid	-
dc.date.accessioned	2014-04-30T04:00:31Z
dc.date.available	2014-04-30T04:00:31Z
dc.date.issued	2013-11-01T00:00:00Z	-
dc.identifier.citation	G. Parham, A. Daneshkhah and O. Chatrabgoun, Approximation Multivariate Distribution of Main Indices of Tehran Stock Exchange with Pair-Copula, Journal of Modern Applied Statistical Methods, 2013, Volume 12, Issue 2, Pages 405-426.
dc.identifier.issn	1538-9472	-
dc.identifier.uri	http://dspace.lib.cranfield.ac.uk/handle/1826/8406
dc.description.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.	en_UK
dc.publisher	College of Education, Wayne State University	en_UK
dc.title	Approximation multivariate distribution of main indices of tehran stock exchange with pair-copula	en_UK
dc.type	Article	-