Local estimation of dynamic copula models
DOI10.1142/S0219024910005759zbMATH Open1203.91315MaRDI QIDQ3564992FDOQ3564992
Eduardo Fraga L. de Melo, Beatriz Vaz de Melo Mendes
Publication date: 27 May 2010
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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