Contagion determination via copula and volatility threshold models
type: Item
instance of: scholarly article
title: Contagion determination via copula and volatility threshold models
zbMATH Open document ID: 1241.91134
DOI: 10.1080/14697680903410023
author: Veni Arakelian
author: Petros Dellaportas
published in: Quantitative Finance
publication date: 2012-06-26T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62H20
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 6050011
zbMATH Keywords: copulas
zbMATH Keywords: Kendall's \(\tau \)
zbMATH Keywords: reversible jump Markov chain Monte Carlo
zbMATH Keywords: Laplace approximation
zbMATH Keywords: time-varying parameters
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/14697680903410023
OpenAlex ID: W2125819444
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description: scientific article; zbMATH DE number 6050011