LOCAL ESTIMATION OF DYNAMIC COPULA MODELS (Q3564992)

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LOCAL ESTIMATION OF DYNAMIC COPULA MODELS
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    title
    LOCAL ESTIMATION OF DYNAMIC COPULA MODELS (English)
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    publication date
    27 May 2010
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    Mathematics Subject Classification ID
    91G70
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    62P05
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    62H05
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    62M10
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    zbMATH DE Number
    5712992
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    zbMATH Keywords
    copulas
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    local maximum likelihood estimation
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    GARCH models
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    value-at-risk
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