Open AccessModeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction
Author(s) -
Ryszard Doman
Publication year - 2010
Publication title -
dynamic econometric models
Language(s) - English
Resource type - Journals
eISSN - 2450-7067
pISSN - 1234-3862
DOI - 10.12775/dem.2010.003
Subject(s) - copula (linguistics) , econometrics , portfolio , marginal distribution , joint probability distribution , computer science , economics , mathematics , statistics , financial economics , random variable
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom