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Omid Chatrabgoun

Omid Chatrabgoun

Academic rank: Associate Professor
ORCID:
Education: PhD.
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Faculty: Mathematical Sciences and Statistics
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Research

Title
Approximation Multivariate Distribution of Main Indices of Tehran Stock Exchange with Pair-Copula
Type
JournalPaper
Keywords
Minimum information copula, pair-copula, vine
Year
2013
Journal The Journal of Modern Applied Statistical Methods
DOI
Researchers Omid Chatrabgoun

Abstract

The multivariate distribution of five main indices of Tehran stock exchange is approximated using a pair-copula model. A vine graphical model is used to produce an n-dimensional copula. This is accomplished using a flexible copula called a minimum information (MI) copula as a part of pair-copula construction. Obtained results show that the achieved model has a good level of approximation.