Vine copulas with asymmetric tail dependence and applications to financial return data (Q1927146): Difference between revisions

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Revision as of 00:39, 6 July 2024

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Vine copulas with asymmetric tail dependence and applications to financial return data
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    Vine copulas with asymmetric tail dependence and applications to financial return data (English)
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    30 December 2012
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    copula-GARCH
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    inference functions for margins
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    reflection asymmetry
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    Value-at-Risk
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