Statistical modeling of temporal dependence in financial data via a copula function

Communications in Statistics: Simulation and Computation

Volumn 38, Issue 4, 2009, Pages 703-728

  Domma, Filippo ^a   Giordano, Sabrina ^a   Perri, Pier Francesco ^a  

^a UNIVERSITY OF CALABRIA   (Italy)

Author keywords

Archimedean copula function; Log Dagum distribution; Markov process; Returns; Tail dependence

Indexed keywords

EID: 60849109249     PISSN: 03610918     EISSN: 15324141     Source Type: Journal    
DOI: 10.1080/03610910802645321     Document Type: Article

References (37)