Vine copulas with asymmetric tail dependence and applications to financial return data (Q1927146)
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scientific article; zbMATH DE number 6119777
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Vine copulas with asymmetric tail dependence and applications to financial return data |
scientific article; zbMATH DE number 6119777 |
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Vine copulas with asymmetric tail dependence and applications to financial return data (English)
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30 December 2012
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copula-GARCH
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inference functions for margins
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reflection asymmetry
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Value-at-Risk
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