Financial dependence analysis: applications of vine copulas-Reference-Cited by-同舟云学术

Financial dependence analysis: applications of vine copulas

Author:

Allen David E.¹,Ashraf Mohammad A.²,McAleer Michael³⁴⁵⁶,Powell Robert J.¹,Singh Abhay K.¹

Affiliation:

1. School of Accounting, Finance and Economics; Edith Cowan University; Australia

2. Indian Institute of Technology; Kharagpur India

3. Econometric Institute, Erasmus School of Economics; Erasmus University Rotterdam; The Netherlands

4. Tinbergen Institute; The Netherlands

5. Department of Quantitative Economics; Complutense University of Madrid; Spain

6. Institute of Economic Research; Kyoto University; Japan

Funder

Australian Research Council

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

Reference30 articles.

1. Pair-copula constructions of multiple dependence;Aas;Insurance, Mathematics and Economics,2009

5. Brechmann , E. C. C. Czado 2012 COPAR - multivariate time-series modelling using the COPula AutoRegressive model

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