Finite Mixture of C-vines for Complex Dependence

Date

2017-08-18

Author

Evkaya, Ömer Ozan
Yozgatlıgil, Ceylan
Kestel, Ayşe Sevtap

Metadata

Show full item record

Item Usage Stats

76
views

0
downloads

Recently, there has been an increasing interest on the combination of copulas with a finite mixture model. Such a framework is useful to reveal the hidden dependence patterns observed for random variables flexibly in terms of statistical modeling. The combination of vine copulas incorporated into a finite mixture model is also beneficial for capturing hidden structures on a multivariate data set. In this respect, the main goal of this study is extending the study of Kim et al. (2013) with different scenarios. For this reason, finite mixture of C-vine is proposed for multivariate data with different dependence structures. The performance of the proposed model has been tested by different simulated data set including various tail dependence properties.

Subject Keywords

Copula, Dependence, Finite mixture, Tail dependence, C-vine

URI

https://indico.uu.se/event/317/contribution/26
https://hdl.handle.net/11511/70918
https://indico.uu.se/event/317/contributions/272/attachments/395/517/oevkaya_shortpaper.pdf

Conference Name

Finite Mixture of C-vines for Complex Dependence.", 20th Europen Young Statistician Meeting, 14 - 18 August 2017

Collections

Department of Statistics, Conference / Seminar

Suggestions

OpenMETU
Core

Mixture of vines for dependence modeling: finite mixture and CD-vine approaches with applications Evkaya, Ömer Ozan; Yozgatlıgil, Ceylan; Kestel, Sevtap Ayşe; Department of Statistics (2018) Recently, there has been an increasing interest on the combination of copulas with a finite mixture model. By a finite mixture, a suitable weighted sum of a parametric densities are tied together in a probabilistic manner. The combination of vine copulas incorporated into a finite mixture model is also beneficial to capture hidden structures in a data set. On the other hand, there are limited number of studies about the mixture of vine copulas. In this dissertation, different mixture of vines are proposed f...
On forward interest rate models : via random fields and Markov jump processes Altay, Sühan; Körezlioğlu, Hayri; Department of Financial Mathematics (2007) The essence of the interest rate modeling by using Heath-Jarrow-Morton framework is to find the drift condition of the instantaneous forward rate dynamics so that the entire term structure is arbitrage free. In this study, instantaneous forward interest rates are modeled using random fields and Markov Jump processes and the drift conditions of the forward rate dynamics are given. Moreover, the methodology presented in this study is extended to certain financial settings and instruments such as multi-country...
Calibration of stochastic models for interest rate derivatives Rainer, Martin (Informa UK Limited, 2009-01-01) For the pricing of interest rate derivatives various stochastic interest rate models are used. The shape of such a model can take very different forms, such as direct modelling of the probability distribution (e.g. a generalized beta function of second kind), a short-rate model (e.g. a Hull-White model) or a forward rate model (e.g. a LIBOR market model). This article describes the general structure of optimization in the context of interest rate derivatives. Optimization in finance finds its particular app...
Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus Yilmaz, Bilgi (VTeX, 2018) This study introduces computation of option sensitivities (Greeks) using the Malliavin calculus under the assumption that the underlying asset and interest rate both evolve from a stochastic volatility model and a stochastic interest rate model, respectively. Therefore, it integrates the recent developments in the Malliavin calculus for the computation of Greeks: Delta, Vega, and Rho and it extends the method slightly. The main results show that Malliavin calculus allows a running Monte Carlo (MC) algorithm...
Application of r-vine copula method in Istanbul stock market data: A case study for the construction sector Farnoudkia, Hajar; Purutçuoğlu Gazi, Vilda (Ankara Yıldırım Beyazıt Üniversitesi , 2020-12-01) In the stock market, the relationship between the sectorial changes can be very informative in order to predict the changes in prices of assets from each sector. In order to understand these sectorial relations, various studies have been conducted. In one of the recent studies, the construction sector in Turkey was investigated in terms of its effect in other Turkish sectors since it is one of the leading sectors in Turkey and its assets have a significant impact in stock markets. Hereby, in this study we d...

Citation Formats

Ö. O. Evkaya, C. Yozgatlıgil, and A. S. Kestel, “Finite Mixture of C-vines for Complex Dependence,” presented at the Finite Mixture of C-vines for Complex Dependence.”, 20th Europen Young Statistician Meeting, 14 - 18 August 2017, Uppsala, Swiss, 2017, Accessed: 00, 2021. [Online]. Available: https://indico.uu.se/event/317/contribution/26.