Download full text from publisher
Other versions of this item:
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Poon, Ser-Huang & Rockinger, Michael & Tawn, Jonathan, 2001.
"New Extreme-Value Dependence Measures and Finance Applications,"
CEPR Discussion Papers
2762, C.E.P.R. Discussion Papers.
- Ser-Huang Poon & Michael Rockinger & J. Tawn, 2001. "New Extreme-Value Dependance Measures and Finance Applications," Working Papers hal-00597018, HAL.
- POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan, 2001. "New Extreme-Value Dependance Measures and Finance Applications," Les Cahiers de Recherche 719, HEC Paris.
- Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006.
"Pricing and Inference with Mixtures of Conditionally Normal Processes,"
2006-28, Center for Research in Economics and Statistics.
- Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
- Rockinger, M. & Jondeau, E., 2001.
"Conditional Dependency of Financial Series: An Application of Copulas,"
82, Banque de France.
- ROCKINGER, Michael & JONDEAU, Eric, 2001. "Conditional dependency of financial series : an application of copulas," Les Cahiers de Recherche 723, HEC Paris.
- Michael Rockinger & Eric Jondeau, 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working Papers hal-00601478, HAL.
- Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Cayton, Peter Julian A. & Mapa, Dennis S., 2012. "Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology," MPRA Paper 36206, University Library of Munich, Germany.
More about this item
KeywordsEntropy; Semi-nonparametric estimation; Time-Varying skewness and Kurtosis; Garch Model;
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebg:heccah:0709. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Antoine Haldemann). General contact details of provider: http://edirc.repec.org/data/hecpafr.html .
We have no references for this item. You can help adding them by using this form .