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.
DOI
10.22237/jmasm/1383279840
Included in
Applied Statistics Commons, Social and Behavioral Sciences Commons, Statistical Theory Commons
