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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Detalles Bibliográficos

Principais autores:	Sundusit Saekow, Phisanu Chiawkhun, Woraphon Yamaka, Nawapon Nakharutai, Parkpoom Phetpradap
Formato:	Artigo
Idioma:	Inglês
Publicado:	MDPI AG 2024-10-01
Series:	Mathematics
Assuntos:	Bayesian model averaging contagion copula tail dependence
Acceso en liña:	https://www.mdpi.com/2227-7390/12/21/3350
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