Change analysis of a dynamic copula for measuring dependence in multivariate financial data
Year of publication: |
2010
|
---|---|
Authors: | Guegan, D. ; Zhang, J. |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 10.2010, 4, p. 421-430
|
Publisher: |
Taylor & Francis Journals |
Subject: | Financial markets | Mathematical models | Statistical methods | Stochastic processes | Risk management | Financial time series | Extreme value theory | Extreme risk and insurance |
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