Fitting bivariate cumulative returns with copulas (Q956837)
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scientific article; zbMATH DE number 5373956
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| English | Fitting bivariate cumulative returns with copulas |
scientific article; zbMATH DE number 5373956 |
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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0.8280696272850037
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0.7872586250305176
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0.7789202332496643
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