Vladimir Spokoiny
Biographic Data
| ID | 8921337 |
|---|---|
| NAME | Vladimir Spokoiny |
| GIVEN NAMES | Vladimir |
| FAMILY NAME | Spokoiny |
| SIGNATURE | SPOKOINY V |
| AFFILIATIONS | Humboldt-Universität zu Berlin |
| ORCID | 0000-0002-2040-3427 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2009 |
| LATEST PUBLICATION YEAR | 2009 |
| H-INDEX | 0 |
Inhomogeneous Dependence Modeling with Time-Varying Copulae
Measuring dependence in multivariate time series is tantamount to modeling its dynamic structure in space and time. In risk management, the nonnormal behavior of most financial time series calls for non-Gaussian dependences. The correct modeling of non-Gaussian dependences is, therefore, a key issue in the analysis of multivariate time series. In this article we use copula functions with adaptively estimated time-varying parameters for modeling t…
No prominent works on this page.
Inhomogeneous Dependence Modeling with Time-Varying Copulae
Measuring dependence in multivariate time series is tantamount to modeling its dynamic structure in space and time. In risk management, the nonnormal behavior of most financial time series calls for non-Gaussian dependences. The correct modeling of non-Gaussian dependences is, therefore, a key issue in the analysis of multivariate time series. In this article we use copula functions with adaptively estimated time-varying parameters for modeling t…
Complex Systems and Time Series Analysis (1 work) · Computer Science (1 work) · Econometrics (1 work) · Economics (1 work) · Finance (1 work) · Financial Risk and Volatility Modeling (1 work) · Gaussian (1 work) · Geology (1 work) · Market Dynamics and Volatility (1 work) · Mathematics (1 work)