Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
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Publication:3574716
DOI10.2202/1558-3708.1572zbMath1193.91183OpenAlexW2025423985MaRDI QIDQ3574716
Stoyan V. Stoyanov, Frank J. Fabozzi, Wei Sun, Svetlozar T. Rachev
Publication date: 2 July 2010
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2202/1558-3708.1572
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20)
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