Inhomogeneous dependence modeling with time-varying copulae

Journal of Business and Economic Statistics

Volumn 27, Issue 2, 2009, Pages 224-234

  Giacomini, Enzo ^a,b   Härdle, Wolfgang ^a   Spokoiny, Vladimir ^a,b  

^a HUMBOLDT UNIVERSITY   (Germany)

^b WEIERSTRASS INSTITUTE FOR APPLIED ANALYSIS AND STOCHASTICS   (Germany)

Author keywords

Adaptive estimation; Nonparametric estimation; Value at Risk

Indexed keywords

EID: 77949542502     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/jbes.2009.0016     Document Type: Article

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