A nonlinear time-varying copula using kink approach
© Published under licence by IOP Publishing Ltd. The structural change in copula parameter is motivates us to propose a flexible non-linear time varying copula that allows for capturing the structural change in the time varying dependence between variables. In this study, two families of Elliptical...
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| Main Authors: | , , |
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| Format: | Conference Proceeding |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85051400824&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/59123 |
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| Institution: | Chiang Mai University |