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Dynamic Copula Methods in Finance (The Wiley Finance Series) Umberto Cherubini, Sabrina Mulinacci, Fabio Gobbi, Silvia Romagnoli
Publisher: Wiley

But the complexity and dynamics of financial markets makes it necessary to employ those tools and thereby improve existing methods. Mittnik (2000) Stable Paretian Models in Finance , John Wiley, Series. Estimation and Testing," Journal of Economic Surveys, Wiley Blackwell, vol. Search tags: Copula, Copulas, Dynamic copula methods in finance . We develop a new methodology that measures conditional dependency. Copula Methods in Finance The Wiley Finance Series ID534717.pdf. The case of copulas in We show that copulas can be used to model extreme market and asset . Conditional Dependency of Financial Series: An Application of Copulas . " Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. Results 1 - 10 of 156 Dynamic Copula Methods in Finance (The Wiley Finance Series).