Score-driven copula models for portfolios of two risky assets
Year of publication: |
2018
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Authors: | Ayala, Astrid ; Blazsek, Szabolcs |
Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 24.2018, 18, p. 1861-1884
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Subject: | DCS copula models | DCS models of location and scale | Dynamic Conditional Score (DCS) models | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Portfolio-Management | Portfolio selection |
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