Semiparametric Dynamic Max-Copula Model for Multivariate Time Series (Q4607216)
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scientific article; zbMATH DE number 6849261
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Semiparametric Dynamic Max-Copula Model for Multivariate Time Series |
scientific article; zbMATH DE number 6849261 |
Statements
Semiparametric Dynamic Max-Copula Model for Multivariate Time Series (English)
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13 March 2018
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asymmetric dependence
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composite maximum likelihood
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copula construction
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market crisis
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mixture modelling
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tail dependence
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