Truncated Maximum Likelihood and Nonparametric Tail Analysis
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- Y. Malevergne & D. Sornette, 2003.
"Testing the Gaussian copula hypothesis for financial assets dependences,"
Taylor & Francis Journals, vol. 3(4), pages 231-250.
- 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, University Library of Munich, Germany.
- Bali, Turan G. & Neftci, Salih N., 2003.
"Disturbing extremal behavior of spot rate dynamics,"
Journal of Empirical Finance,
Elsevier, vol. 10(4), pages 455-477, September.
- Turan G. Bali & Salih N. Neftci, 2002. "Disturbing Extremal Behavior of Spot Rate Dynamics," ICMA Centre Discussion Papers in Finance icma-dp2002-03, Henley Business School, Reading University.
- Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 75, European Central Bank.
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