Dynamic distributions and changing copulas
Dynamic distributions and changing copulas
复制标题
动态分布和变化的联结函数
DOI：
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发表时间：
2008
期刊：
影响因子：
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通讯作者：
A. C. Harvey
中科院分区：
文献类型：
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作者：
A. C. Harvey
A copula models the relationships between variables independently of their marginal distributions. When the variables are time series, the copula may change over time. A statistical framework is suggested for tracking these changes over time. When the marginal distribu- tions change, pre-filtering is necessary before constructing the indicator variables on which the tracking of the copula is based. This entails solving an even more basic problem, namely estimating time-varying quantiles. The methods are applied to the Hong Kong and Korean stock market indices. Some interesting movements are detected, particularly after the attack on the Hong Kong dollar in 1997.
影响因子：
6.3
作者：
De Rossi, Giuliano;Harvey, Andrew
通讯作者：
Harvey, Andrew