We build a class of copula models that captures time-varying dependence across large panels of financial assets. Our models nest Gaussian, Student's t, grouped Student's t, and generalized hyperbolic ...
The Annals of Applied Statistics, Vol. 14, No. 1 (March 2020), pp. 241-256 (16 pages) ABOUZAHR, C., CLELAND, J., COULLARE, F., MACFARLANE, S. B., NOTZON, F. C., SETEL ...
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