Time Varying Hierarchical Archimedean Copulae
نویسندگان
چکیده
منابع مشابه
Hierarchical Archimedean Copulae over time dependence with applications to Financial Data
In the classical multivariate time series models the residuals are assumed to be normally distributed. However the assumption of normality is rarely consistent with the empirical evidence and leads to possibly incorrect inferences from financial models. The copula theory allows us to extend the classical time series models to nonelliptically distributed residuals. In this paper we analyze the t...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.2894238