Vine copulas with asymmetric tail dependence and applications to financial return data

Aristidis K. Nikoloulopoulos, Harry Joe, Haijun Li. Vine copulas with asymmetric tail dependence and applications to financial return data. Computational Statistics & Data Analysis, 56(11):3659-3673, 2012. [doi]

Authors

Aristidis K. Nikoloulopoulos

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Harry Joe

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Haijun Li

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