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)