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Hongtao Zhou with J.Wu: Nonparametric Estimation in Time-Varying Mixed Copula
Updat:Dec 26, 2013   Author:admin   Click:[]

Abstract:

This paper extends the previous work on parametric mixed copula models and implements a nonparametric approach, i.e. a local maximum likelihood estimationprocedure, to estimate the time-varying correlation between returns of the world major market indexes such as S&P, NIKKIE, FTSE and DAX. We check the robustness of our model using the Monte-Carlo simulation with different sample sizes and our modeling strength is confirmed.

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