Estimation of Contagion: Bayesian Model Averaging on Tail Dependence of Mixture Copula
This study introduces a novel approach to estimate tail dependence in financial contagion using mixture copulas. Addressing the challenges of weight parameter estimation in conventional models, we propose a Bayesian model averaging method to determine optimal copula weights. Through both simulations...
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| Hlavní autoři: | , , , , |
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| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
MDPI AG
2024-10-01
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| Edice: | Mathematics |
| Témata: | |
| On-line přístup: | https://www.mdpi.com/2227-7390/12/21/3350 |
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