Modelling volatility dependence with score copula models
Year of publication: |
2023
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Authors: | Alanya-Beltran, Willy |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 27.2023, 5, p. 649-668
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Subject: | emerging markets | score-driven copulas | stock returns | two-components | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Kapitaleinkommen | Capital income | Volatilität | Volatility | Schwellenländer | Emerging economies | Zeitreihenanalyse | Time series analysis |
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