Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10008992011
Purpose – This paper aims to statistically model the serial dependence in the first and second moments of a univariate time series using copulas, bridging the gap between theory and applications, which are the focus of risk managers. Design/methodology/approach – The appealing feature of the...
Persistent link: https://www.econbiz.de/10009191082
Persistent link: https://www.econbiz.de/10009896562