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.
Parham, G.; Daneshkhah, A.; and Chatrabgoun, O.
"Approximation Multivariate Distribution of Main Indices of Tehran Stock Exchange with Pair-Copula,"
Journal of Modern Applied Statistical Methods:
2, Article 25.
Available at: http://digitalcommons.wayne.edu/jmasm/vol12/iss2/25