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TIME SERIES ANALYSIS USING COPULA GAUSS AND AR(1)-N.GARCH(1,1)

Abstract In this case, the Gauss Copula is used to connect the data that correlates with the time and with other data sets. Most often, practitioners rely only on the linear correlation to describe the degree of dependence between two or more variables; an approach that can lead to quiteRead More

February 24, 2017 , , , , , , , Academic Publication No Comments »