Some Statistical Pitfalls in Copula Modeling for Financial Applications
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چکیده
منابع مشابه
Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function
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* Prof. Svetlozar T. Rachev (Corresponding Author): Chair of Econometrics, Statistics and Mathematical Finance, University of Karlsruhe (TH) and Karlsruhe Institute of Technology (KIT), Kollegium am Schloss, Bau II, 20.12, R210, Postfach 6980, D-76128, Karlsruhe, Germany & Department of Statistics and Applied Probability, University of California, Santa Barbara, USA & Chief Scientist, FinAnalyt...
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چکیده ندارد.
15 صفحه اولCopula - Based Models for Financial Time Series
This paper presents an overview of the literature on applications of copulas in the modelling of nancial time series. Copulas have been used both in multivariate time series analysis, where they are used to charaterise the (conditional) cross-sectional dependence between individual time series, and in univariate time series analysis, where they are used to characterise the dependence between a...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.558981