A Survey on Time-Varying Copulas: Specification, Simulations, and Application
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Publication:5080162
DOI10.1080/07474938.2011.608042zbMath1491.62038OpenAlexW2038896451MaRDI QIDQ5080162
Publication date: 31 May 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2011.608042
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) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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Uses Software
Cites Work
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