Tracking a changing copula

Journal of Empirical Finance

Volumn 17, Issue 3, 2010, Pages 485-500

  Harvey, Andrew ^a  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

Concordance; Contagion; Exponentially weighted moving average; Quantiles; Signal extraction; Tail dependence

Indexed keywords

EID: 77951498687     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2009.10.004     Document Type: Article

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