Dynamic copula-based Markov chains at work: Theory, testing and performance in modeling daily stock returns
Year of publication: |
2011
|
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Authors: | Tinkl, Fabian ; Reichert, Katja |
Publisher: |
Nürnberg : Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW) |
Subject: | Kapitalertrag | Börsenkurs | Kopula | Markovscher Prozess | ARCH-Modell | Schätzung | Bank | Deutschland | Dynamic copula models | Markov chains | score test | GARCH models |
Series: | IWQW Discussion Papers ; 09/2011 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 664986498 [GVK] hdl:10419/48666 [Handle] RePEc:zbw:iwqwdp:092011 [RePEc] |
Source: |
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Tinkl, Fabian, (2011)
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Tinkl, Fabian, (2011)
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