Copula function approaches for the analysis of serial and cross dependence in stock returns
Year of publication: |
May 2016
|
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Authors: | Rivieccio, Giorgia ; De Luca, Giovanni |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 17.2016, p. 55-61
|
Subject: | Copula function | Sharpe ratio | Vector AutoRegressive models | Multivariate Verteilung | Multivariate distribution | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Börsenkurs | Share price |
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