• Medientyp: E-Artikel
  • Titel: Semiparametric dynamic max-copula model for multivariate time series
  • Beteiligte: Zhao, Zifeng; Zhang, Zhengjun
  • Erschienen: John Wiley & Sons Ltd, 2018
  • Erschienen in: Journal of the Royal Statistical Society. Series B (Statistical Methodology), 80 (2018) 2, Seite 409-432
  • Sprache: Englisch
  • ISSN: 1369-7412; 1467-9868
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  • Beschreibung: <p>The paper presents a novel non-linear framework for the construction of flexible multivariate dependence structure (i.e. copulas) from existing copulas based on a straightforward 'pairwise max-'rule. The newly constructed max-copula has a closed form and has strong interpretability. Compared with the classical 'linear symmetric' mixture copula, the max-copula can be viewed as a 'non-linear asymmetric' framework. It is capable of modelling asymmetric dependence and joint tail behaviour while also offering good performance in non-extremal behaviour modelling. Max-copulas that are based on single-factor and block factor models are developed to offer parsimonious modelling for structured dependence, especially in high dimensional applications. Combined with semiparametric time series models, the max-copula can be used to develop flexible and accurate models for multivariate time series. A new semiparametric composite maximum likelihood method is proposed for parameter estimation, where the consistency and asymptotic normality of estimators are established. The flexibility of the max-copula and the accuracy of the proposed estimation procedure are illustrated through extensive numerical experiments. Real data applications in value-at-risk estimation and portfolio optimization for financial risk management demonstrate the max-copula's promising ability to capture accurately joint movements of high dimensional multivariate stock returns under both normal and crisis regimes of the financial market.</p>