Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function

Author: Domma Filippo   Giordano Sabrina   Perri Pier Francesco  

Publisher: Taylor & Francis Ltd

ISSN: 0361-0918

Source: Communications in Statistics: Simulation and Computation, Vol.38, Iss.4, 2009-04, pp. : 703-728

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Abstract