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Time-varying copula models for financial time series - MaRDI portal

Time-varying copula models for financial time series (Q5197403)

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scientific article; zbMATH DE number 7109539
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English
Time-varying copula models for financial time series
scientific article; zbMATH DE number 7109539

    Statements

    title
    Time-varying copula models for financial time series (English)
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    author
    Rüdiger Kiesel
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    Magda Mroz
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    Ulrich Stadtmüller
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    publication date
    23 September 2019
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    zbMATH Keywords
    multivariate time series
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    copula
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    binomial test
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    extremal test
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    cites work
    Q3600720
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    Q3412547
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    Simulating Copulas
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    Identifiers

    Mathematics Subject Classification ID
    62P10
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    62M10
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    62G32
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    91B84
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    zbMATH DE Number
    7109539
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    OpenAlex ID
    W2343661543
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    DOI
    10.1017/APR.2016.48
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