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~isPartOf:"KIER Working Papers"
~person:"Caporale, Guglielmo Maria"
~person:"Dreher, Axel"
~person:"Grossman, Michael"
~person:"Lucas, André"
~person:"McAleer, Michael"
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Co-dependence modelling
1
Regular Vine Copulas
1
Return Volatility relationship
1
Tree structures
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copula
1
copula quantile regression
1
quantile regression
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tail dependence
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Caporale, Guglielmo Maria
Dreher, Axel
Grossman, Michael
Lucas, André
McAleer, Michael
Allen, David E
2
Powell, Robert J
2
Singh, Abhay K
2
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Financial
Dependence
Analysis: Applications of Vine Copulae
Allen, David E
;
Ashraf, Mohammad.A.
;
McAleer, Michael
; …
-
Institute of Economic Research, Kyoto University
-
2013
to the assessment of financial risk: namely Regular Vine copulas.
Dependence
modelling using copulas is a popular tool in …
Persistent link: https://www.econbiz.de/10011255396
Saved in:
2
The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions
Allen, David E
;
Singh, Abhay K
;
Powell, Robert J
; …
-
Institute of Economic Research, Kyoto University
-
2012
quantile
dependence
using a linear and non- linear quantile regression approach. Our goal is to demonstrate that the …
Persistent link: https://www.econbiz.de/10011263108
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