Change analysis of a dynamic copula for measuring dependence in multivariate financial data (Q3564811): Difference between revisions
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| Property / cites work: Empirical estimation of tail dependence using copulas: application to Asian markets / rank | |||
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| Property / cites work: Goodness-of-fit tests for copulas / rank | |||
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| Property / cites work: On the rate of approximations for maximum likelihood tests in change-point models / rank | |||
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| Property / cites work: Common factors in conditional distributions for bivariate time series / rank | |||
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Latest revision as of 20:27, 2 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Change analysis of a dynamic copula for measuring dependence in multivariate financial data |
scientific article |
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Change analysis of a dynamic copula for measuring dependence in multivariate financial data (English)
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26 May 2010
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financial markets
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mathematical models
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statistical methods
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stochastic processes
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risk management
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financial time series
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extreme value theory
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extreme risk and insurance
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