Stock Market Asymmetries: A Copula Diffusion
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More about this item
Keywords
tail dependence; multivariate diffusion; Markov Chain Monte Carlo;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2012-12-15 (Financial Markets)
- NEP-ORE-2012-12-15 (Operations Research)
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