Time-varying joint distribution through copulas

Computational Statistics and Data Analysis

Volumn 54, Issue 11, 2010, Pages 2383-2399

  Ausin, M Concepcion ^a   Lopes, Hedibert F ^b  

^a UNIVERSIDAD COMPLUTENSE DE MADRID   (Spain)

^b UNIVERSITY OF CHICAGO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

BAYESIAN INFERENCE; BAYESIAN PROCEDURES; CONDITIONAL VALUE-AT-RISK; COPULA FUNCTIONS; CORRELATION MATRIX; EFFICIENT FRONTIER; EVOLUTION EQUATIONS; FINANCIAL TIME SERIES; GARCH MODELS; HISTORICAL DATA; JOINT DISTRIBUTIONS; MEAN VARIANCE; MODEL PARAMETERS; MULTIVARIATE TIME SERIES; OPTIMAL PORTFOLIO SELECTION; POINT ESTIMATE; RISK MEASURES; TEMPORAL DEPENDENCE; TIME VARYING; UNIVARIATE; VALUE AT RISK;

BAYESIAN NETWORKS; FINANCIAL DATA PROCESSING; INFERENCE ENGINES; PARAMETER ESTIMATION; RISK ASSESSMENT; RISK PERCEPTION; TIME SERIES; VALUE ENGINEERING;

TIME SERIES ANALYSIS;

EID: 77955276329     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2009.03.008     Document Type: Article

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