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~institution:"Tinbergen Institute"
~person:"Lucas, André"
~subject:"multivariate Student's t distribution"
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multivariate Student's t distribution
Catastrophic insurance losses
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Lucas, André
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A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
-
Tinbergen Institute
-
2010
dependence
structures. We provide an empirical illustration for a panel of daily global equity returns. …
Persistent link: https://www.econbiz.de/10008838568
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