Modeling dependence in high dimensions with factor copulas
Year of publication: |
January 2017
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Authors: | Oh, Dong Hwan ; Patton, Andrew J. |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 35.2017, 1, p. 139-154
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Subject: | Copulas | Correlation | Dependence | Systemic risk | Tail dependence | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Statistische Verteilung | Statistical distribution | Systemrisiko | Korrelation | Zeitreihenanalyse | Time series analysis |
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