Assessing Dependence Between Financial Market Indexes Using Conditional Time-Varying Copulas: Applications to Value at Risk

Citation:
Assessing Dependence Between Financial Market Indexes Using Conditional Time-Varying Copulas: Applications to Value at Risk, Filho, Silva O. C., Ziegelmann F. A., and Dueker M. , Quantitative Finance, Volume 14, p.2155-2170, (2014)