Multi-market direction-of-change modeling using dependence ratios

DOI10.2202/1558-3708.1532MaRDI QIDQ3574740zbMATH OpenOpenAlexFDO

Authors Stanislav Anatolyev

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/10.2202/1558-3708.1532

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) 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)

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