Multivariate skewed student’s t copula in the analysis of nonlinear and asymmetric dependence in the German equity market
Wei Sun; Svetlozar Rachev; Stoyan V. Stoyanov; Frank J. Fabozzi
| Year of publication: |
2008
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|---|---|
| Authors: | Sun, Wei ; Račev, Svetlozar T. ; Stojanov, Stojan Dimitrov ; Fabozzi, Frank J. |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 12.2008, 2, p. 1-35
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| Subject: | Multivariate Verteilung | Multivariate distribution | Deutschland | Germany | Schätzung | Estimation | Kapitaleinkommen | Capital income | Multivariate Analyse | Multivariate analysis | Statistische Verteilung | Statistical distribution | Nichtlineare Regression | Nonlinear regression | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | 10.2202/1558-3708.1572 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009513633