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...
Tallennettuna:
| Päätekijät: | , , , , |
|---|---|
| Aineistotyyppi: | Artigo |
| Kieli: | Inglês |
| Julkaistu: |
MDPI AG
2024-10-01
|
| Sarja: | Mathematics |
| Aiheet: | |
| Linkit: | https://www.mdpi.com/2227-7390/12/21/3350 |
| Tagit: |
Ei tageja, Lisää ensimmäinen tagi!
|