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Multivariate Analyse 1 Multivariate Verteilung 1 Multivariate analysis 1 Multivariate distribution 1 Portfolio selection 1 Portfolio-Management 1 Risikomaß 1 Risk measure 1 Theorie 1 Theory 1 Time series analysis 1 Zeitreihenanalyse 1
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Free 1
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Book / Working Paper 1
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English 1
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Härdle, Wolfgang 1 Okhrin, Ostap 1
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SFB 649 Discussion Paper 2009-031 1
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ECONIS (ZBW) 1
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De Copulis Non Est Disputandum - Copulae : An Overview
Härdle, Wolfgang - 2017
Normal distribution of the residuals is the traditional assumption in the classical multivariate time series models. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series models to nonelliptically distributed residuals. In...
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