Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models (Q4620154): Difference between revisions

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Revision as of 08:43, 14 February 2024

scientific article; zbMATH DE number 7015454
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English
Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models
scientific article; zbMATH DE number 7015454

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    Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models (English)
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    8 February 2019
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    stock return dependence
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    time-varying copula
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    D-vines
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    efficient importance sampling
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    sequential estimation
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    generalized autoregressive score
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    time series
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