Semiparametric Dynamic Max-Copula Model for Multivariate Time Series (Q4607216)
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scientific article; zbMATH DE number 6849261
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| English | Semiparametric Dynamic Max-Copula Model for Multivariate Time Series |
scientific article; zbMATH DE number 6849261 |
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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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0.8281614780426025
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0.8174858093261719
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0.8087049126625061
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0.8084751963615417
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0.8076559901237488
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