Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
Year of publication: |
2008
|
---|---|
Authors: | Sun, Wei ; Rachev, Svetlozar ; Stoyanov, Stoyan ; Fabozzi, Frank |
Published in: |
Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 12.2008, 2, p. 1572-1572
|
Publisher: |
Berkeley Electronic Press |
Subject: | asymmetric correlation | copula | high-frequency data | Lévy processes | tail dependence |
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