Copulas for High Dimensions: Models, Estimation, Inference, and Applications
<p>The dissertation consists of four chapters that concern topics on copulas for high dimensions. Chapter 1 proposes a new general model for high dimension joint distributions of asset returns that utilizes high frequency data and copulas. The dependence between returns is decomposed into line...
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2014
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| Online Access: | http://hdl.handle.net/10161/8735 |