FLAVIO A. ZIEGELMANN
Department of Statistics (UFRGS)
flavioaz@mat.ufrgs.br
(email)
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Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR)
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Tófoli, P., Ziegelmann F. A., Silva Filho O. C., and Pereira P. L. V.
, Journal of Time Series Econometrics, Volume 11, Issue 2, p.20170016, (2019)
A Comparison Study of Copula Models for European Financial Index Returns
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Tofoli, P., Ziegelmann F. A., and Filho Silva O. C.
, International Journal of Economics and Finance, Volume 9, p.155-178, (2017)
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