Comparing point and interval estimates in the bivariate t-copula model with application to financial data-Reference-Cited by-同舟云学术

Comparing point and interval estimates in the bivariate t-copula model with application to financial data

Published:2009-10-27 Issue:3 Volume:52 Page:709-731
ISSN:0932-5026
Container-title:Statistical Papers
language:en
Short-container-title:Stat Papers

Author:

Dakovic Rada,Czado Claudia

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s00362-009-0279-8.pdf

Reference20 articles.

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3. Byrd RH, Lu P, Nocedal J, Zhu CY (1995) A limited memory algorithm for bound constrained optimization. SIAM J Sci Comput 16(5): 1190–1208

4. Dalla Valle L (2007) Bayesian copulae distributions, with application to operational risk management. Methodol Comput Appl Probab (to appear)

5. Demarta S, McNeil AJ (2005) The t-copula and related copulas. Int Stat Rev 73(1): 111–129

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