Modelling Dependencies of Stock Indices During Covid-19 Pandemic by Extreme-Value Copula
Quantifying dependence among variables is the core of all modelling efforts in financial models. In the recent years, copula was introduced to model the dependence structure among financial assets return, and its application developed fast. A large number of studies on copula have been performed, bu...
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| Autors principals: | , , , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
Universitas Muhammadiyah Mataram
2023-07-01
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| Col·lecció: | JTAM (Jurnal Teori dan Aplikasi Matematika) |
| Matèries: | |
| Accés en línia: | http://journal.ummat.ac.id/index.php/jtam/article/view/15109 |
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