A time-varying multivariate noncentral contaminated normal copula model and its application to the visualized dependence analysis of Hong Kong stock markets

DOI10.1155/2020/9673623zbMath1459.91225OpenAlexW3093713542MaRDI QIDQ2213441

Teng Yuan Cheng, Zhenyu Xiao, Jie Wang, Kuiran Shi

Publication date: 1 December 2020

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/9673623

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Financial applications of other theories (91G80)

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Cites Work

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