Fitting bivariate cumulative returns with copulas (Q956837): Difference between revisions
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Revision as of 01:42, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fitting bivariate cumulative returns with copulas |
scientific article |
Statements
Fitting bivariate cumulative returns with copulas (English)
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26 November 2008
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copula
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normal inverse gamma mixture
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IFM method
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bivariate chi-square statistic
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daily cumulative return
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covariance estimation
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