Multivariate skewed student's t Copula in the analysis of nonlinear and asymmetric dependence in the German equity market

Studies in Nonlinear Dynamics and Econometrics

Volumn 12, Issue 2, 2008, Pages

  Sun, Wei ^a   Rachev, Svetlozar ^a,b   Stoyanov, Stoyan V ^c   Fabozzi, Frank J ^d  

^a UNIVERSITY OF KARLSRUHE   (Germany)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c FinAnalytica Inc

^d YALE UNIVERSITY   (United States)

Author keywords

Asymmetric correlation; Copula; High frequency data; Lvy processes; Tail dependence

Indexed keywords

EID: 44849109626     PISSN: 10811826     EISSN: 15583708     Source Type: Journal    
DOI: 10.2202/1558-3708.1572     Document Type: Article

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