دورية أكاديمية
EXPLORING THE COPULA APPROACH FOR THE ANALYSIS OF FINANCIAL DURATIONS
| العنوان: | EXPLORING THE COPULA APPROACH FOR THE ANALYSIS OF FINANCIAL DURATIONS |
|---|---|
| المؤلفون: | Giovanni De Luca, Giorgia Rivieccio, Paola Zuccolotto |
| المساهمون: | The Pennsylvania State University CiteSeerX Archives |
| المصدر: | http://www.labeconomia.unisa.it/maf2006/paper/DeLucaRiveccioZuccolotto.pdfTest. |
| المجموعة: | CiteSeerX |
| مصطلحات موضوعية: | Financial durations, autoregressive conditional durations, copula function |
| الوصف: | The object of the paper is the comparison of two approaches for the analysis of financial durations. The former is the parametric approach popularized by Engle & Russell (1998) and is implemented using the exponential, the Weibull, the Burr and the Pareto density functions. The latter makes use of bivariate and trivariate copula functions. |
| نوع الوثيقة: | text |
| وصف الملف: | application/pdf |
| اللغة: | English |
| العلاقة: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.511.306Test; http://www.labeconomia.unisa.it/maf2006/paper/DeLucaRiveccioZuccolotto.pdfTest |
| الإتاحة: | http://www.labeconomia.unisa.it/maf2006/paper/DeLucaRiveccioZuccolotto.pdfTest |
| حقوق: | Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| رقم الانضمام: | edsbas.EB81461 |
| قاعدة البيانات: | BASE |
| الوصف غير متاح. |