most citedModelling of dependence in high-dimensional financial time series by cluster-derived canonical vines

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q-fin.ST2014★ 1 cited

Modelling of dependence in high-dimensional financial time series by cluster-derived canonical vines

David Walsh-Jones, Daniel Jones, Christoph Reisinger

We extend existing models in the financial literature by introducing a cluster-derived canonical vine (CDCV) copula model for capturing high dimensional dependence between financia…