Impact of Nonstationarity on Estimating and Modeling Empirical Copulas of Daily Stock Returns
Year of publication: |
2020
|
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Authors: | Kremer, Marcel |
Other Persons: | Schäfer, Rudi (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Kapitaleinkommen | Capital income | Multivariate Verteilung | Multivariate distribution | Schätzung | Estimation | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
Extent: | 1 Online-Ressource (19 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Risk, 19(1):1-23, 2016 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 7, 2020 erstellt |
Classification: | C13 - Estimation ; c46 ; c55 ; G12 - Asset Pricing ; G10 - General Financial Markets. General |
Source: | ECONIS - Online Catalogue of the ZBW |
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