Work

Modelling Dependence in High Dimensions with Factor Copulas

Year: 2015

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.2631656

Authors: Dong Hwan Oh, Andrew J. Patton

Institutions: Federal Reserve Board of Governors, Duke University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3124195909

Cites: 54

Cited by: 16

Related to: 10