Time series copula models using d-vines and v-transforms

Bladt, Martin and McNeil, Alexander John orcid.org/0000-0002-6137-2890 (2022) Time series copula models using d-vines and v-transforms. Econometrics and Statistics. 27-48. ISSN 2452-3062

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Authors/Creators:
Copyright, Publisher and Additional Information: © 2021 The Author(s).
Dates:
  • Accepted: 14 July 2021
  • Published (online): 24 September 2022
  • Published: 1 October 2022
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > The York Management School
Depositing User: Pure (York)
Date Deposited: 01 Mar 2023 12:40
Last Modified: 06 Dec 2023 14:20
Published Version: https://doi.org/10.1016/j.ecosta.2021.07.004
Status: Published
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.ecosta.2021.07.004

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Description: Time series copula models using d-vines and v-transforms

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