DETECTING FINANCIAL DATA DEPENDENCE STRUCTURE BY AVERAGING MIXTURE COPULAS

DOI10.1017/S0266466618000270zbMath1420.62445OpenAlexW2891952230MaRDI QIDQ4967793

Q. Li, Xinyu Zhang, Wei Long, Guannan Liu

Publication date: 11 July 2019

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466618000270

zbMATH Keywords

mixture copulasfinancial data dependence structure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Economic time series analysis (91B84)

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