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Volumn , Issue , 2010, Pages

Copula processes

Author keywords

[No Author keywords available]

Indexed keywords

BAYESIAN NETWORKS; ECONOMIC ANALYSIS; INFERENCE ENGINES; MARKOV PROCESSES; STOCHASTIC MODELS; STOCHASTIC SYSTEMS;

EID: 85162018719     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper
Times cited : (110)

References (23)
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  • 2
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    • Li, D.X.1
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    • (2006) An Introduction to Copulas
    • Nelsen, R.B.1
  • 4
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    • Generalized autoregressive conditional heteroskedasticity
    • Tim Bollerslev. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31 (3):307-327, 1986.
    • (1986) Journal of Econometrics , vol.31 , Issue.3 , pp. 307-327
    • Bollerslev, T.1
  • 5
    • 13844298055 scopus 로고    scopus 로고
    • Practical issues in forecasting volatility
    • Ser-Huang Poon and Clive W.J. Granger. Practical issues in forecasting volatility. Financial Analysts Journal, 61(1):45-56, 2005.
    • (2005) Financial Analysts Journal , vol.61 , Issue.1 , pp. 45-56
    • Poon, S.-H.1    Granger, C.W.J.2
  • 6
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    • A forecast comparison of volatility models: Does anything beat a GARCH(1,1
    • Peter Reinhard Hansen and Asger Lunde. A forecast comparison of volatility models: Does anything beat a GARCH(1,1). Journal of Applied Econometrics, 20(7):873-889, 2005.
    • (2005) Journal of Applied Econometrics , vol.20 , Issue.7 , pp. 873-889
    • Hansen, P.R.1    Lunde, A.2
  • 12
    • 0000795592 scopus 로고
    • Fonctions de répartition à n dimensions et leurs marges
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    • (1959) Publ. Inst. Statist. Univ. Paris , vol.8 , pp. 229-231
    • Sklar, A.1
  • 13
    • 0002320996 scopus 로고
    • Caractéisation complète des lois extrêmes multivariés et de la convergence des types extrêmes
    • P Deheuvels. Caractéisation complète des lois extrêmes multivariés et de la convergence des types extrêmes. Publications de l'Institut de Statistique de l'Université de Paris, 23:1-36, 1978.
    • (1978) Publications de L'Institut de Statistique de L'Université de Paris , vol.23 , pp. 1-36
    • Deheuvels, P.1
  • 14
    • 0000591793 scopus 로고
    • Uniform representations of bivariate distributions
    • G Kimeldorf and A Sampson. Uniform representations of bivariate distributions. Communications in Statistics, 4:617-627, 1982.
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    • Kimeldorf, G.1    Sampson, A.2
  • 16
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    • Kernel-based Copula processes
    • Sebastian Jaimungal and Eddie K.H. Ng. Kernel-based Copula processes. In ECML PKDD, 2009.
    • (2009) ECML PKDD
    • Jaimungal, S.1    Ng, E.K.H.2
  • 18
    • 84855393080 scopus 로고    scopus 로고
    • Gaussian process regression with Student-t likelihood
    • Jarno Vanhatalo, Pasi Jylanki, and Aki Vehtari. Gaussian process regression with Student-t likelihood. In NIPS, 2009.
    • (2009) NIPS
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  • 20
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    • Regression with inputdependent noise: A Gaussian process treatment
    • Paul W. Goldberg, Christopher K.I. Williams, and Christopher M. Bishop. Regression with inputdependent noise: A Gaussian process treatment. In NIPS, 1998.
    • (1998) NIPS
    • Goldberg, P.W.1    Williams, C.K.I.2    Bishop, C.M.3
  • 21
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    • (2000) NIPS
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  • 23
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    • (1997) Journal of Empirical Finance , vol.4 , Issue.2-3 , pp. 115-158
    • Andersen, T.G.1    Bollerslev, T.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.