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...
Gorde:
| Egile Nagusiak: | , , , , |
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| Formatua: | Artigo |
| Hizkuntza: | Inglês |
| Argitaratua: |
MDPI AG
2024-10-01
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| Saila: | Mathematics |
| Gaiak: | |
| Sarrera elektronikoa: | https://www.mdpi.com/2227-7390/12/21/3350 |
| Etiketak: |
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