Models for construction of multivariate dependence - a comparison study

European Journal of Finance

Volumn 15, Issue 7-8, 2009, Pages 639-659

  Aas, Kjersti ^a   Berg, Daniel ^b  

^a NORWEGIAN COMPUTING CENTER   (Norway)

^b UNIVERSITY OF OSLO   (Norway)

Author keywords

Equity returns; Goodness of fit; Nested archimedean copulas; Out of sample validation; Pair copula constructions; Precipitation values

Indexed keywords

EID: 77249134143     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/13518470802588767     Document Type: Article

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