Pitfalls in Modelling Dependence Structures: Explorations with Copulas

The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Volumn , Issue , 2009, Pages

  Trivedi, Pravin K ^a   Zimmer, David M ^b  

^a INDIANA UNIVERSITY   (United States)

^b WESTERN KENTUCKY UNIVERSITY   (United States)

Author keywords

Copulas; Excess co movement hypothesis; Finite mixture of copulas; Marginal distribution; Stochastic dependence

Indexed keywords

EID: 84919622509     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1093/acprof:oso/9780199237197.003.0006     Document Type: Chapter

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