Bayesian Hierarchical Copula Models with a Dirichlet-Laplace Prior
采用 Dirichlet–Laplace 先验的贝叶斯层级 Copula 模型
We discuss a Bayesian hierarchical copula model for clusters of financial time series. A similar approach has been developed in recent paper. However, the prior distributions proposed there do not always provide a proper posterior. In order to circumvent the problem, we adopt a proper global-local shrinkage prior, which is also able to account for potential dependence structures among different clusters. The performance of the proposed model is presented via simulations and…