A new time-varying optimal copula model identifying the dependence across markets (Q4555089)
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scientific article; zbMATH DE number 6981204
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new time-varying optimal copula model identifying the dependence across markets |
scientific article; zbMATH DE number 6981204 |
Statements
A new time-varying optimal copula model identifying the dependence across markets (English)
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19 November 2018
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tail dependence
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co-movement across markets
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half-rotated copulas
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time-varying optimal copula approach
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