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  • Search: subject:"Nonparametric copula"
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Year of publication
Subject
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conditional dependence index 2 leverage effect 2 nonparametric copula 2 tail dependence index 2 volatility feedback effect 2 ARCH model 1 ARCH-Modell 1 Aktienindex 1 Börsenkurs 1 Kendall's tau 1 Kendall’s tau 1 Multivariate Verteilung 1 Multivariate distribution 1 Nichtparametrisches Verfahren 1 Nonparametric copula 1 Nonparametric statistics 1 Share price 1 Stock index 1 Theorie 1 Theory 1 Volatility 1 Volatilität 1 mixture modeling 1 nonparametric consistency 1
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Online availability
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Free 3
Type of publication
All
Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2 Undetermined 1
Author
All
Sun, Yiguo 2 Wu, Ximing 2 Burda, Martin 1 Prokhorov, Artem 1
Institution
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University of Toronto, Department of Economics 1
Published in...
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Journal of Risk and Financial Management 1 Journal of risk and financial management : JRFM 1 Working Papers / University of Toronto, Department of Economics 1
Source
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ECONIS (ZBW) 1 EconStor 1 RePEc 1
Showing 1 - 3 of 3
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Leverage and volatility feedback effects and conditional dependence index: A nonparametric study
Sun, Yiguo; Wu, Ximing - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-20
volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate …
Persistent link: https://www.econbiz.de/10012611017
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Cover Image
Leverage and volatility feedback effects and conditional dependence index : a nonparametric study
Sun, Yiguo; Wu, Ximing - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-20
volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate …
Persistent link: https://www.econbiz.de/10011857010
Saved in:
Cover Image
Copula Based Factorization in Bayesian Multivariate Infinite Mixture Models
Burda, Martin; Prokhorov, Artem - University of Toronto, Department of Economics - 2013
Bayesian nonparametric models based on infinite mixtures of density kernels have been recently gaining in popularity due to their flexibility and feasibility of implementation even in complicated modeling scenarios. In economics, they have been particularly useful in estimating nonparametric...
Persistent link: https://www.econbiz.de/10010850114
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