A new time-varying optimal copula model identifying the dependence across markets
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DOI: 10.1080/14697688.2016.1205208
Abstract: This paper proposes a new time-varying optimal copula (TVOC) model to identify and capture the optimal dependence structure of bivariate time series at every time point. In the TVOC model, half-rotated copulas are constructed to… read more here.
Keywords: dependence; time varying; time; new time ... See more keywords