A survey on time-varying copulas: Specification, simulations, and application

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收藏 2014-12-02

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【作者(必填)】
H Manner, O Reznikova
【文题(必填)】
A survey on time-varying copulas: Specification, simulations, and application【年份(必填)】
2012
【全文链接或数据库名称(选填)】
A survey on time-varying copulas: Specification, simulations, and applicationH Manner, O Reznikova - Econometric Reviews, 2012 - Taylor & Francis
... Multivariate stochastic volatility models: Bayesian estimation and model comparison . ... Change
analysis of dynamic copula for measuring dependence in multivariate financial data . ... In general,
the time-varying dependence parameter of the copula will be called θ t , and for the ...
被引用次数：36 相关文章所有 5 个版本 Web of Science: 5 引用保存