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Switching generalized autoregressive score copula models with application to systemic risk

Year of publication:
2018
Authors: Bernardi, Mauro ; Catania, Leopoldo
Published in:
Journal of Applied Econometrics. - Wiley, ISSN 1099-1255, ZDB-ID 1500458-2. - Vol. 34.2018, 1 (29.08.), p. 43-65
Publisher: Wiley
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Type of publication: Article
Language: English
Research data:
Other identifiers:
10.1002/jae.2650 [DOI]
Source:
Other ZBW resources
Persistent link: https://www.econbiz.de/10012082798
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