Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function (Q3625345)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function |
scientific article |
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Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function (English)
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12 May 2009
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Archimedean copula function
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log-Dagum distribution
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Markov process
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returns
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tail dependence
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0.9533629
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0.9449812
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0.92682606
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0.9263816
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0.9181665
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0.9007712
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0.8941335
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