Fitting bivariate cumulative returns with copulas
type: Item
instance of: scholarly article
title: Fitting bivariate cumulative returns with copulas
zbMATH Open document ID: 1429.62471
DOI: 10.1016/S0167-9473(02)00346-8
author: Werner Hürlimann
published in: Computational Statistics and Data Analysis
publication date: 2008-11-26T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62H05
zbMATH DE Number: 5373956
zbMATH Keywords: copula
zbMATH Keywords: normal inverse gamma mixture
zbMATH Keywords: IFM method
zbMATH Keywords: bivariate chi-square statistic
zbMATH Keywords: daily cumulative return
zbMATH Keywords: covariance estimation
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 5373956