Testing the Gaussian copula hypothesis for financial assets dependences
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- Y. Malevergne & D. Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependences," Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 231-250.
- Yannick Malevergne & Didier Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependence," Post-Print hal-02312888, HAL.
- Y. Malevergne & D. Sornette, 2001. "Testing the Gaussian Copula Hypothesis for Financial Assets Dependences," Finance 0111003, University Library of Munich, Germany.
- Y. Malevergne & D. Sornette, 2001. "Testing the Gaussian Copula Hypothesis for Financial Assets Dependences," Papers cond-mat/0111310, arXiv.org.
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More about this item
KeywordsCopulas; Dependence Modelisation; Risk Management; Tail Dependence;
All these keywords.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G19 - Financial Economics - - General Financial Markets - - - Other
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