Dynamic copula models for the spark spread
نویسندگان
چکیده
منابع مشابه
High dimensional dynamic stochastic copula models
We build a class of copula models that captures time-varying dependence across large panels of financial assets. Our models nest Gaussian, Student’s t, grouped Student’s t, and generalized hyperbolic copulas with time-varying correlations matrices, as special cases. We introduce time-variation into the densities by writing them as factor models with stochastic loadings. The proposed copula mode...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2011
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2010.481629