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]

References

No references recorded for this publication.

Cited by

No citations of this publication recorded.