Dynamic structured copula models
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DOI: 10.1524/strm.2013.2004
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- Ostap Okhrin & Anastasija Tetereva, 2017. "The Realized Hierarchical Archimedean Copula in Risk Modelling," Econometrics, MDPI, vol. 5(2), pages 1-31, June.
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Keywords
Copula; multivariate distribution; Archimedean copula; adaptive estimation;All these keywords.
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