Detecting atypical observations in financial data: the forward search for elliptical copulas
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References listed on IDEAS
- Y. Malevergne & D. Sornette, 2003.
"Testing the Gaussian copula hypothesis for financial assets dependences,"
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- Y. Malevergne & D. Sornette, 2001. "Testing the Gaussian Copula Hypothesis for Financial Assets Dependences," Papers cond-mat/0111310, arXiv.org.
- Yannick Malevergne & Didier Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependences," Post-Print hal-00520539, HAL.
- Y. Malevergne & D. Sornette, 2001. "Testing the Gaussian Copula Hypothesis for Financial Assets Dependences," Finance 0111003, EconWPA.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Bellini, Tiziano, 2013. "Integrated bank risk modeling: A bottom-up statistical framework," European Journal of Operational Research, Elsevier, vol. 230(2), pages 385-398.
- Bellini, Tiziano, 2012. "Forward search outlier detection in data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 216(1), pages 200-207.
More about this item
KeywordsCopulas; Forward search; Squared Mahalanobis distance; 62F35; 62-07;
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