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...
I tiakina i:
| Ngā kaituhi matua: | , , , , |
|---|---|
| Hōputu: | Artigo |
| Reo: | Inglês |
| I whakaputaina: |
MDPI AG
2024-10-01
|
| Rangatū: | Mathematics |
| Ngā marau: | |
| Urunga tuihono: | https://www.mdpi.com/2227-7390/12/21/3350 |
| Ngā Tūtohu: |
Kāore He Tūtohu, Me noho koe te mea tuatahi ki te tūtohu i tēnei pūkete!
|