Non-parametric estimation of copula parameters : testing for time-varying correlation
Year of publication: |
2015
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Authors: | Gong, Jinguo ; Wu, Weiou ; McMillan, David G. ; Shi, Daimin |
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. 19.2015, 1, p. 93-106
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Subject: | dynamic dependence | kernel estimate | local likelihood estimation | stock returns | time-varying copula | Schätztheorie | Estimation theory | Multivariate Verteilung | Multivariate distribution | Nichtparametrisches Verfahren | Nonparametric statistics | Kapitaleinkommen | Capital income | Schätzung | Estimation | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | ARCH-Modell | ARCH model | Börsenkurs | Share price |
Extent: | graph. Darst. |
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Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Systemvoraussetzungen: PDF Reader |
Other identifiers: | 10.1515/snde-2012-0089 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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