CLASSIC AND COPULA DEPENDENCY MODELS AND KENDALL'S TAU DEPENDENCY MEASURES FOR RISK ENERGY RETURN PREDICTION
The existence of dependence in asset returns is a phenomenon that cannot be ignored in financial investments. Understanding the effect of dependence allows investors and policymakers to better comprehend the movement of risk. Statistically, the dependence between two random variables can be model...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/76462 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |