Fitting bivariate cumulative returns with copulas (Q956837)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Fitting bivariate cumulative returns with copulas |
scientific article; zbMATH DE number 5373956
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fitting bivariate cumulative returns with copulas |
scientific article; zbMATH DE number 5373956 |
Statements
Fitting bivariate cumulative returns with copulas (English)
0 references
26 November 2008
0 references
copula
0 references
normal inverse gamma mixture
0 references
IFM method
0 references
bivariate chi-square statistic
0 references
daily cumulative return
0 references
covariance estimation
0 references
