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Computational Statistics & Data Analysis
Article . 2014 . Peer-reviewed
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Vine-copula GARCH model with dynamic conditional dependence

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2013 China (People's Republic of) English Publisher:Elsevier BVJournal:Computational Statistics & Data Analysis, volume 76, pages 655-671 (issn: 0167-9473, Copyright policy )
Authors: Mike K. P. So; Cherry Y. T. Yeung;

doi: 10.1016/j.csda.2013.08.008 , 10.2139/ssrn.2305743

Vine-copula GARCH model with dynamic conditional dependence

Abstract

zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Country
China (People's Republic of)
Related Organizations
Keywords

Applications of statistics to actuarial sciences and financial mathematics, GARCH, 330, Measures of association (correlation, canonical correlation, etc.), Time varying dependence, Time series, auto-correlation, regression, etc. in statistics (GARCH), Copula, time varying dependence, Vine decomposition, copula, Computational methods for problems pertaining to statistics, vine decomposition, Characterization and structure theory for multivariate probability distributions; copulas

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    popularity
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    influence
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    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
43
Top 10%
Top 10%
Top 10%
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