Application of Copula Functions in a Modelling of Relations in Multivariate Financial Time Series

• Autorzy: Krzysztof Jajuga
• Języki publikacji: EN

Abstrakty

EN

In the remaining part we discuss the models developed in the stochastic approach. These models, as a rule, are being assigned to financial econometrics. These are models developed to analyze financial data, for the simulation, forecasting or decision-making objectives. In addition, financial econometrics tools verify the models developed by financial economics and financial mathematics.(fragment of text)

Słowa kluczowe

EN

Econometric modeling; Copula Functions; Time-series; Econometrics; Financial analysis; Stochastic models

PL

Modelowanie ekonometryczne; Funkcje połączeń; Szeregi czasowe; Ekonometria; Analiza finansowa; Modele stochastyczne

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2004
• Tom: 6
• Strony: 15--24

Twórcy

autor

Krzysztof Jajuga

• Wrocław University of Economics, Poland

Bibliografia

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