Financial Modeling Under Non-Gaussian Distributions

By Ser-Huang Poon, Michael Rockinger, J. Erić. 2006

323 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/d941d4abadedef6d1029f466fca107f70d12dfad

Citations in the corpus

• International diversification: A copula approach (2011, unknown): “Jondeau and Rockinger (2006) successfully utilize a model of returns that incorporates skewed-t GARCH for the marginals, along with a dynamic gaussian and student-t copula for the dependence structure.”
• A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing (2013, unknown): “As discussed in Kojadinovic and Rohmer (2012), a broad class of nonparametric tests for change-point detection particularly sensitive to changes in the copula can be derived from the process Dn(s,u) = √ nλn(0, s)λn(s, 1){C1:bnsc(u)− Cbnsc+1:n(u)}, (s,u) ∈ [0, 1].”