Copula correlation analysis and risk measurement based on time-varying
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Publication:5198260
DOI10.13338/J.ISSN.1006-8341.2019.01.019zbMATH Open1438.62162MaRDI QIDQ5198260FDOQ5198260
Authors: Kaili Xue, Jun-Xiang Lu 
Publication date: 2 October 2019
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Risk models (general) (91B05)
Cited In (4)
- Correlation analysis of the Shanghai-Shenzhen stock index based on Gaussian copulas and \(t\)-copulas
- The research on sequence of daily return correlation between Shanghai-Shenzhen stock indexes based on copula function
- Forecasting dependent tail value-at-risk by ARMA-GJR-GARCH-copula method and its application in energy risk
- Copula entropy method for measuring correlation in financial risk
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