Inhomogeneous dependence modeling with time-varying copulae
Enzo Giacomini; Wolfgang Härdle; Vladimir Spokoiny
| 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 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003885784