Switching generalized autoregressive score copula models with application to systemic risk
Author:
Affiliation:
1. Department of Statistical SciencesUniversity of Padova Padua Italy
2. Department of Economics and Business EconomicsAarhus University and CREATES Aarhus Denmark
Publisher
Wiley
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/jae.2650
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