Financial Dependence Analysis: Applications of Vine Copulae

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Summary, etc.：: This paper features the application of a novel and recently developed method of statistical and mathematical analysis to the assessment of financial r...

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Material Type: 文書・図像類
Title: Financial Dependence Analysis: Applications of Vine Copulae
Author/Editor: Allen, David E.
Ashraf, Mohammad.A.
McAleer, Michael
Powell, Robert J.
Singh, Abhay K.
Author Heading: Allen, David E.
Ashraf, Mohammad.A.
McAleer, Michael
Powell, Robert J.
Singh, Abhay K.
Publication, Distribution, etc.: Institute of Economic Research, Kyoto University
Publication Date: 2013-01
Publication Date (W3CDTF): 2013-01
Periodical title: KIER Discussion Paper
No. or year of volume/issue: 843
Volume: 843
Text Language Code: eng
Subject Heading: Regular Vine Copulas
Tree structures
Co-dependence modelling
NDC: 330
Target Audience: 一般
Format (IMT): application/pdf
Source: DP843.pdf （fulltext）
http://repository.kulib.kyoto-u.ac.jp/dspace/bitstream/2433/168970/1/DP843.pdf
Access Restrictions: インターネット公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 京都大学 : 京都大学学術情報リポジトリ