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Factor copula models and their applications

thesis
posted on 2018-11-15, 23:18 authored by BAN KHENG TAN
Factor copula models are useful for modeling high-dimensional data sets that typically exhibit complex dependence structures. However, the practical merits of factor copula models have not been fully explored from an estimation point of view. This thesis proposes a simple, yet useful framework for estimating factor copula models, which allows for a richer and more precise understanding of the underlying dependence in the data sets.

History

Campus location

Australia

Principal supervisor

Anastasios Panagiotelis

Additional supervisor 1

George Athanasopoulos

Year of Award

2018

Department, School or Centre

Econometrics and Business Statistics

Course

Doctor of Philosophy

Degree Type

DOCTORATE

Faculty

Faculty of Business and Economics

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    Faculty of Business and Economics Theses

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