Testing the Gaussian copula hypothesis for financial assets dependences

DOI10.1088/1469-7688/3/4/301zbMath1408.62177arXivcond-mat/0111310OpenAlexW3105477608MaRDI QIDQ4647266

Yannick Malevergne, Didier Sornette

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0111310

zbMATH Keywords

financial assets dependencesGaussian copula hypothesisStudent copula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (24)

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