Estimation of the interdependence of time series of stocks prices based on copula
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References listed on IDEAS
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
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- Knyazev, Alexander & Lepekhin, Oleg & Shemyakin, Arkady, 2016. "Joint distribution of stock indices: Methodological aspects of construction and selection of copula models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 42, pages 30-53.
- Bronshtein, Efim & Zinurova, Anna, 2012. "Copulas of a special form and their application to the analysis of the financial market," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 27(3), pages 109-114.
More about this item
Keywordsstocks; copula function; comonotonicity; countermonotonicity; independence of random values;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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