Maximum likelihood estimation of skew-t copulas with its applications to stock returns
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Publication:4960698
Cites work
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Cited in
(13)- Copula shrinkage and portfolio allocation in ultra-high dimensions
- Implicit Copula Variational Inference
- Copula-based measures of asymmetry between the lower and upper tail probabilities
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- Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
- Nonparametric Tail Copula Estimation: An Application to Stock and Volatility Index Returns
- High-Dimensional Copula Variational Approximation Through Transformation
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