Local Estimation Of Dynamic Copula Models
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DOI: 10.1142/S0219024910005759
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References listed on IDEAS
- Patton, Andrew J, 2001. "Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula," University of California at San Diego, Economics Working Paper Series qt01q7j1s2, Department of Economics, UC San Diego.
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"Conditional Dependency of Financial Series: An Application of Copulas,"
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- Rockinger, M. & Jondeau, E., 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working papers 82, Banque de France.
- ROCKINGER, Michael & JONDEAU, Eric, 2001. "Conditional dependency of financial series : an application of copulas," HEC Research Papers Series 723, HEC Paris.
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Keywords
Copulas; local maximum likelihood estimation; GARCH models; Value-at-Risk;All these keywords.
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