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Copulas and Long Memory

Copulas and long memory
descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2008 United Kingdom English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068, Copyright policy )
Authors: Ibragimov, R; Lentzas, G;

doi: 10.2139/ssrn.1185822 , 10.1214/14-ps233

handle: 10044/1/67775

Copulas and Long Memory

Abstract

zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Country
United Kingdom
Related Organizations
Keywords

measures of dependence, GARCH, copulas, 330, 0104 Statistics, autocorrelations, volatility, persistence, Markov chains (discrete-time Markov processes on discrete state spaces), 510, long memory processes, short memory processes, Long memory processes, 0102 Applied Mathematics

  • BIP!
    Impact byBIP!
    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).
    		 19
    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.
    		 Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 Top 10%
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    		 Top 10%
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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!
19
Top 10%
Top 10%
Top 10%
Green
gold
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