Modelling Time-variant Dependence Structure by Regime-switching Copula Models
碩士 === 國立臺灣大學 === 經濟學研究所 === 92 === ABSTRACTS In this thesis, we explore the time-variant bivariate dependence structure by a class of regime switching copula models. We consider a dynamic mixed copula in which the parameters are governed by a hidden Markov chain. In our empirical study, we apply a...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/34864004876614342530 |