{"paper":{"title":"Modelling of dependence in high-dimensional financial time series by cluster-derived canonical vines","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.ST","authors_text":"Christoph Reisinger, Daniel Jones, David Walsh-Jones","submitted_at":"2014-11-18T19:15:40Z","abstract_excerpt":"We extend existing models in the financial literature by introducing a cluster-derived canonical vine (CDCV) copula model for capturing high dimensional dependence between financial time series. This model utilises a simplified market-sector vine copula framework similar to those introduced by Heinen and Valdesogo (2008) and Brechmann and Czado (2013), which can be applied by conditioning asset time series on a market-sector hierarchy of indexes. While this has been shown by the aforementioned authors to control the excessive parameterisation of vine copulas in high dimensions, their models ha"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1411.4970","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}