Dependence Modeling on S&P 500 d=98 n=1,253 trading days (full set)
-46.62-ℓ (Negative Log-Likelihood)R-vine
Evaluation Results
| Method | Links | ||
|---|---|---|---|
| R-vine#Params=3,7062026.05 | -46.62 | -87.325 | |
| Nested Gumbel#Params=122026.05 | -21.24 | -42.461 |
Loading the SOTA2 catalog…