Maximum likelihood estimation of mixed C-vines with application to exchange rates

Statistical Modelling

Volumn 12, Issue 3, 2012, Pages 229-255

  Czado, Claudia ^a   Schepsmeier, Ulf ^a   Min, Aleksey ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

C vine; copulas; maximum likelihood estimation; pair copula construction; US exchange rates

Indexed keywords

EID: 84861767343     PISSN: 1471082X     EISSN: 14770342     Source Type: Journal    
DOI: 10.1177/1471082X1101200302     Document Type: Article

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