Work

Nonparametric Estimation of Copulas for Time Series

Year: 2003

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.372142

Authors: Olivier Scaillet, Jean-David Fermanian

Institutions: University of Geneva, Swiss Finance Institute, Centre de Recherche en Économie et Statistique, ENSAE Paris

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: National Science Foundation, Schweizerischer Nationalfonds zur Förderung der Wissenschaftlichen Forschung

OpenAlex ID: W1609595740

Cites: 54

Cited by: 56

Related to: 10