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person:"Stoimenov, Pavel A."
~person:"Lucas, André"
~person:"Oh, Dong Hwan"
~subject:"Estimation"
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Search: subject_exact:"Copula function"
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Stoimenov, Pavel A.
Lucas, André
Oh, Dong Hwan
Okhrin, Ostap
6
Anatolyev, Stanislav
5
Fischer, Matthias
5
Songsak Sriboonchitta
5
Valdesogo, Alfonso
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Avdulaj, Krenar
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Barunik, Jozef
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Chang, Kuang-Liang
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Kim, Jong-Min
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Liu, Xiaochun
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Tan, Ken Seng
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Weiß, Gregor
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Yoon, Seong-min
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Zhu, Wenjun
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Arellano, Manuel
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Azam, Kazim
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Bu, Ruijun
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ECONIS (ZBW)
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Dynamic factor copula models with estimated cluster assignments
Oh, Dong Hwan
;
Patton, Andrew J.
-
2021
-
This draft: 21 January 2021
Persistent link: https://www.econbiz.de/10012608826
Saved in:
2
Intraday stock price dependence using dynamic discrete copula distributions
Koopman, Siem Jan
;
Lit, Rutger
;
Lucas, André
-
2015
Persistent link: https://www.econbiz.de/10010494787
Saved in:
3
Time-varying systemic risk : evidence from a dynamic copula model of CDS spreads
Oh, Dong Hwan
;
Patton, Andrew J.
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
2
,
pp. 181-195
Persistent link: https://www.econbiz.de/10011894575
Saved in:
4
Modelling dependence of extreme events in energy markets using tail copulas
Jäschke, Stefan
;
Siburg, Karl Friedrich
;
Stoimenov, …
-
2011
Persistent link: https://www.econbiz.de/10008841122
Saved in:
5
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
-
2011
Persistent link: https://www.econbiz.de/10009720703
Saved in:
6
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
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