Contagion determination via copula and volatility threshold models V Arakelian,

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【全文链接或数据库名称(选填)】Contagion determination via copula and volatility threshold modelsV Arakelian, P Dellaportas - Quantitative Finance, 2012 - Taylor & Francis
... 1995. Reversible jump Markov chain Monte Carlo computation and Bayesian model determination.
Biometrika, 82: 711–732. ... 4.2. MCMC moves. We require an efficient Markovian scheme that mixes
well in the model space. ... We use the following copulas: i. Frank's copula: ii. ...
被引用次数：7 相关文章所有 5 个版本 Web of Science: 4 引用保存