scientific article; zbMATH DE number 7246959

zbMath1463.91154MaRDI QIDQ5121470

Songsak Sriboonchitta, T. Kiatmanaroch

Publication date: 14 September 2020

Full work available at URL: http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/1341

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

distance measurevine copulaempirical Kendall's taufutures crude oil prices

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• CDVine
• fGarch

Cites Work

• Pair-copula constructions of multiple dependence
• Generalized autoregressive conditional heteroscedasticity
• Unnamed Item

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