Flexible copula models with dynamic dependence and application to financial data

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Flexible copula models with dynamic dependence and application to financial data

TitleFlexible copula models with dynamic dependence and application to financial data
Publication TypeJournal Article
Year of Publication2020
AuthorsKrupskii, P, Joe, H
JournalEconometrics and Statistics
Volume16
Pagination148-167
Date PublishedOCT
ISSN2468-0389
DOI10.1016/j.ecosta.2020.01.005