Time varying vine copulas for multivariate returns (in Russian)
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More about this item
Keywords
multidimensional time series; vine copulas; dSML estimator; computational efficiency;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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