Vine copulas with asymmetric tail dependence and applications to financial return data (Q1927146): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 15:06, 1 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Vine copulas with asymmetric tail dependence and applications to financial return data |
scientific article |
Statements
Vine copulas with asymmetric tail dependence and applications to financial return data (English)
0 references
30 December 2012
0 references
copula-GARCH
0 references
inference functions for margins
0 references
reflection asymmetry
0 references
Value-at-Risk
0 references
