Truncated regular vines in high dimensions with application to financial data

Canadian Journal of Statistics

Volumn 40, Issue 1, 2012, Pages 68-85

  Brechmann, E C ^a   Czado, C ^a   Aas, K ^b  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^b NORWEGIAN COMPUTING CENTER   (Norway)

Author keywords

Multivariate copula; Regular vines; Simplified vines; Truncated canonical vines

Indexed keywords

EID: 84856920894     PISSN: 03195724     EISSN: 1708945X     Source Type: Journal    
DOI: 10.1002/cjs.10141     Document Type: Article

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