Dynamic distributions and changing copulas

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Authors
Harvey, Andrew C.
Publication Date
2008-09
Series
Cambridge Working Papers in Economics
Publisher
Faculty of Economics
Type
Working Paper
Metadata
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Citation
Harvey, A. C. (2008). Dynamic distributions and changing copulas. https://doi.org/10.17863/CAM.5290
Keywords
Concordance, contagion, exponentially weighted moving average; quantiles; signal extraction, tail dependence
Identifiers
CWPE0839
This record's DOI: https://doi.org/10.17863/CAM.5290
This record's URL: http://www.dspace.cam.ac.uk/handle/1810/229383https://www.repository.cam.ac.uk/handle/1810/229383

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