Monitoring Test for Stability of Dependence Structure in Multivariate Data Based on Copula-Reference-Cited by-同舟云学术

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Monitoring Test for Stability of Dependence Structure in Multivariate Data Based on Copula

Published:2016-12-21 Issue:12 Volume:18 Page:457
ISSN:1099-4300
Container-title:Entropy
language:en
Short-container-title:Entropy

Author:

Lee Jiyeon,Kim Byungsoo

Funder

Yeungnam University

National Research Foundation of Korea

Publisher

MDPI AG

Subject

General Physics and Astronomy

Link

http://www.mdpi.com/1099-4300/18/12/457/pdf

Reference42 articles.

1. Copula Methods in Finance;Cherubini,2004

2. Dynamic Copula Methods in Finance;Cherubini,2012

3. Quantitative Risk Management: Concepts, Techniques, and Tools;McNeil,2005

4. Analysis of Multivariate Survival Data;Hougaard,2000

5. Is the correlation in international equity returns constant: 1960–1990?

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