Acknowledgement
이 논문은 한국연구재단의 지원을 받아 수행된 기초연구 사업임 (NRF-2019R1F1A1057104).
References
- Bedford T and Cooke RM (2001). Probability density decomposition for conditionally dependent random variables modeled by vines, Annals of Mathematics and Artificial intelligence, 32, 245-268. https://doi.org/10.1023/A:1016725902970
- Bedford T and Cooke RM (2002). Vines: A new graphical model for dependent random variables, Annals of Statistics, 30, 1031-1068.
- Brechmann EC and Czado C (2013). Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50, Statistics & Risk Modeling, 30, 307-342. https://doi.org/10.1524/strm.2013.2002
- Dissmann J, Brechmann EC, Czado C, and Kurowicka D (2013). Selecting and estimating regular vine copulae and application to financial returns, Computational Statistics and Data Analysis, 59, 52-69, https://doi.org/10.1016/j.csda.2012.08.010
- Embrechts P, McNeil A, and Straumann D (2002). Correlation and dependence in risk management: properties and pitfalls, Risk Management: Value at Risk and Beyond, 1, 176-223. https://doi.org/10.1017/CBO9780511615337.008
- Fan J, Qi L, and Xiu D (2014). Quasi-maximum likelihood estimation of GARCH models with heavy-tailed likelihoods, Journal of Business & Economic Statistics, 32, 178-191. https://doi.org/10.1080/07350015.2013.840239
- Friedman J, Hastie T, and Tibshirani R (2010) Regularization paths for generalized linear models via coordinate descent, Journal of Statistical Software, 33, 1-22.
- Joe H (1996). Families of m-variate distributions with given margins and m(m - 1)/2 bivariate dependence parameters, Lecture Notes-Monograph Series, 120-141.
- Jorion P (2002). Value at Risk: The New Benchmark for Managing Financial Risk, McGraw-Hill.
- Kupiec P (1995). Techniques for verifying the accuracy of risk measurement models, The Journal of Derivatives, 3, 73-84. https://doi.org/10.3905/jod.1995.407942
- MacKenzie D and Spears T (2014). 'A device for being able to book P&L': The organizational embedding of the Gaussian copula, Social Studies of Science, 44, 418-440. https://doi.org/10.1177/0306312713517158
- Muller D and Czado C (2019). Selection of sparse vine copulas in high dimensions with the lasso, Statistics and Computing, 29, 269-287. https://doi.org/10.1007/s11222-018-9807-5
- Nagler T, Schepsmeier U, Stoeber J, Brechmann EC, Graeler B, and Erhardt T (2021). VineCopula: Statistical Inference of Vine Copulas, R package version 2.4.2.
- Park S and Baek C (2014). On multivariate GARCH model selection based on risk management, Journal of the Korean Data and Information Science Society, 25, 1333-1343. https://doi.org/10.7465/jkdi.2014.25.6.1333
- Ryan JA and Ulrich JM (2020). quantmod: Quantitative Financial Modelling Framework, R package version 0.4-16.
- Sklar M (1959). Fonctions de repartition an dimensions et leurs marges, Publications de l'Institut Statistique de l'Universite de Paris, 8, 229-231.