The effect of dependence on European market risk : a nonparametric time varying approach
Year of publication: |
2022
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Authors: | Ascorbebeitia, Jone ; Ferreira, Eva ; Orbe-Mandaluniz, Susan |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 40.2022, 2, p. 913-923
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Subject: | Local stationarity | Multivariate Kendall’s tau | Nonparametric estimator | Time varying copula | Nichtparametrisches Verfahren | Nonparametric statistics | Multivariate Verteilung | Multivariate distribution | EU-Staaten | EU countries | Schätzung | Estimation | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
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