Impact of nonstationarity on estimating and modeling empirical copulas of daily stock returns
Marcel Wollschläger and Rudi Schäfer
| Year of publication: |
October 2016
|
|---|---|
| Authors: | Wollschläger, Marcel ; Schäfer, Rudi |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 19.2016, 1, p. 1-23
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| Subject: | copulas | financial time series | nonstationarity | asymmetry | multivariate mixture | K-copula | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model | Schätzung | Estimation | Multivariate Analyse | Multivariate analysis | Theorie | Theory | Börsenkurs | Share price | Finanzmarkt | Financial market | Wechselkurs | Exchange rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2016.342 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011579750