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.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.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.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 | - |