Browsing Mathematics (Faculty of) by Author "Han, Dezhao"
Now showing items 1-1 of 1
-
Sparse Models in High-Dimensional Dependence Modelling and Index Tracking
Han, Dezhao (University of Waterloo, 2017-01-17)This thesis is divided into two parts. The first part proposes parsimonious models to the vine copula. The second part is devoted to the index tracking problem. Vine copulas provide a flexible tool to capture asymmetry ...