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~institution:"Deutsche Bundesbank"
~institution:"HAL"
~institution:"Society for Computational Economics - SCE"
~institution:"Tinbergen Instituut"
~isPartOf:"Computing in Economics and Finance 2006"
~source:"repec"
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Evaluating the Predictive Abilities of Semiparametric Multivariate Models
Panchenko, Valentyn
-
Society for Computational Economics - SCE
-
2006
semiparametric model is based on the parametric conditional
copula
and nonparametric conditional marginals. To avoid the curse of … conditional kernel smoothers based on local linear estimator. The semiparametric
copula
model is compared with the parametric DCC …
Persistent link: https://www.econbiz.de/10005706216
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A new framework for firm value using copulas
Giuli, Elena Maria De
;
Maggi, Mario
;
Fantazzini, Dean
-
Society for Computational Economics - SCE
-
2006
analysis and
copula
theory. First we consider the case of the complete markets followed by the general case of incomplete …
Persistent link: https://www.econbiz.de/10005170550
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