Empirical Analysis on the Financial Crisis Spread Effects Based on Pair-copula Bayesian Network

Published: Jan 1, 2014
Abstract
In order to overcome the complexity of traditional modeling methods of Copula function,Pair-copula Bayesian network method was adopted in this paper.Combining the advantages of Copula function and Bayesian network,this method effectively decreases the complexity of the high-dimensional Copula function parameter estimation,solves the difficulty of the marginal distributions control of nonnormal continuous Bayesian networks,and makes asymmetric...
Paper Details
Title
Empirical Analysis on the Financial Crisis Spread Effects Based on Pair-copula Bayesian Network
Published Date
Jan 1, 2014
Journal
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