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DETECTING FINANCIAL DATA DEPENDENCE STRUCTURE BY AVERAGING MIXTURE COPULAS

Liu, GN; Long, W; Zhang, XY; Li, Q

Zhang, XY (reprint author), Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China.; Zhang, XY (reprint author), Qingdao Univ, Qingdao, Shandong, Peoples R China.

ECONOMETRIC THEORY, 2019; 35 (4): 777

Abstract

A mixture copula is a linear combination of several individual copulas that can be used to generate dependence structures not belonging to existing co......

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