Modeling dependence in high dimensions with factor copulas
Dong Hwan Oh, Andrew J. Patton
| Year of publication: |
January 2017
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|---|---|
| Authors: | Oh, Dong Hwan ; Patton, Andrew J. |
| 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. 35.2017, 1, p. 139-154
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| Subject: | Copulas | Correlation | Dependence | Systemic risk | Tail dependence | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | Korrelation | Systemrisiko | Risikomaß | Risk measure | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2015.1062384 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011704143