Contagion determination via copula and volatility threshold models (Q2893213)
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scientific article; zbMATH DE number 6050011
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Contagion determination via copula and volatility threshold models |
scientific article; zbMATH DE number 6050011 |
Statements
Contagion determination via copula and volatility threshold models (English)
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26 June 2012
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copulas
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Kendall's \(\tau \)
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reversible jump Markov chain Monte Carlo
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Laplace approximation
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time-varying parameters
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