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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Bibliografske podrobnosti

Principais autores:	Sundusit Saekow, Phisanu Chiawkhun, Woraphon Yamaka, Nawapon Nakharutai, Parkpoom Phetpradap
Format:	Artigo
Jezik:	Inglês
Izdano:	MDPI AG 2024-10-01
Serija:	Mathematics
Teme:	Bayesian model averaging contagion copula tail dependence
Online dostop:	https://www.mdpi.com/2227-7390/12/21/3350
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