Fitting bivariate cumulative returns with copulas

Computational Statistics and Data Analysis

Volumn 45, Issue 2, 2004, Pages 355-372

  Hürlimann, Werner ^a  

^a NONE   (Switzerland)

Author keywords

Bivariate chi square statistic; Copula; Covariance estimation; Daily cumulative return; IFM method; Normal inverse gamma mixture

Indexed keywords

APPROXIMATION THEORY; DATA REDUCTION; MAXIMUM LIKELIHOOD ESTIMATION; STATISTICAL METHODS;

COPULAS; COVARIANCE ESTIMATION; INFERENCE FUNCTIONS;

COMPUTATIONAL METHODS;

STATISTICAL ANALYSIS;

EID: 10744224750     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-9473(02)00346-8     Document Type: Article

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