Inhomogeneous dependence modeling with time-varying copulae
Year of publication: |
2009
|
---|---|
Authors: | Giacomini, Enzo ; Härdle, Wolfgang ; Spokojnyj, Vladimir G. |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 27.2009, 2, p. 224-234
|
Subject: | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
-
Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich, (2015)
-
Inhomogeneous dependency modelling with time varying copulae
Giacomini, Enzo, (2006)
-
Inhomogeneous Dependency Modelling with Time Varying Copulae
Giacomini, Enzo, (2017)
- More ...
-
Inhomogeneous dependency modelling with time varying copulae
Giacomini, Enzo, (2006)
-
Neural Networks in Quantitative Finance
Giacomini, Enzo, (2003)
-
Giacomini, Enzo, (2005)
- More ...