A multivariate volatility vine copula model
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Publication:5034252
DOI10.1080/07474938.2015.1096695zbMath1490.62231OpenAlexW2177794605MaRDI QIDQ5034252
M. Heiden, Yarema Okhrin, Eike Christian Brechmann
Publication date: 24 February 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2015.1096695
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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