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Pair-Copula Constructions for Financial Applications: A Review

Author

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  • Kjersti Aas

    (Department of Statistical Analysis, Image Analysis and Machine Learning, Norwegian Computing Center, N-0314 Oslo, Norway)

Abstract
This survey reviews the large and growing literature on the use of pair-copula constructions (PCCs) in financial applications. Using a PCC, multivariate data that exhibit complex patterns of dependence can be modeled using bivariate copulae as simple building blocks. Hence, this model represents a very flexible way of constructing higher-dimensional copulae. In this paper, we survey inference methods and goodness-of-fit tests for such models, as well as empirical applications of the PCCs in finance and economics.

Suggested Citation

  • Kjersti Aas, 2016. "Pair-Copula Constructions for Financial Applications: A Review," Econometrics, MDPI, vol. 4(4), pages 1-15, October.
    • Handle: RePEc:gam:jecnmx:v:4:y:2016:i:4:p:43-:d:81730
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    References listed on IDEAS

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