Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets
Author:
Publisher
Informa UK Limited
Subject
Economics, Econometrics and Finance (miscellaneous)
Link
http://www.tandfonline.com/doi/pdf/10.1080/13518470902853491
Reference21 articles.
1. Bouyé, E., N. Gaussel and M. Salmon. 2001. Investigating dynamic dependence using copulae. FERC Working Paper, Warwick Business School
2. Recent Advances in Quantile Regression Models: A Practical Guideline for Empirical Research
3. Estimation of copula-based semiparametric time series models
4. Copulas and Markov processes
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