Contagion determination via copula and volatility threshold models (Q2893213): Difference between revisions

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Latest revision as of 10:11, 5 July 2024

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Contagion determination via copula and volatility threshold models
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    Contagion determination via copula and volatility threshold models (English)
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    26 June 2012
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    copulas
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    Kendall's \(\tau \)
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    reversible jump Markov chain Monte Carlo
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    Laplace approximation
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    time-varying parameters
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