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Journal of Applied Statistics Volume 40, 2013 - Issue 8
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Original Articles

Do stock returns have an Archimedean copula?

Mark Trede Center for Quantitative Economics and Center for Nonlinear Science, Universität Münster, Am Stadtgraben 9, Münster, 48143, GermanyCorrespondence[email protected]
&
Cornelia Savu Center for Quantitative Economics and Center for Nonlinear Science, Universität Münster, Am Stadtgraben 9, Münster, 48143, Germany
Pages 1764-1778 | Received 12 Sep 2012, Accepted 06 Apr 2013, Published online: 27 Apr 2013

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Rebecca M. Baker, Tahani Coolen-Maturi & Frank P. A. Coolen. (2017) Nonparametric predictive inference for stock returns. Journal of Applied Statistics 44:8, pages 1333-1349.
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Articles from other publishers (4)

Karl Friedrich Siburg & Christopher Strothmann. (2023) Multivariate tail dependence and local stochastic dominance. Journal of Multivariate Analysis, pages 105267.
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M. A. Boateng, A. Y. Omari-Sasu, R. K. Avuglah & N. K. Frempong. (2022) A Mixture of Clayton, Gumbel, and Frank Copulas: A Complete Dependence Model. Journal of Probability and Statistics 2022, pages 1-7.
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Omar Abbara & Mauricio Zevallos. (2018) Modeling and forecasting intraday VaR of an exchange rate portfolio. Journal of Forecasting 37:7, pages 729-738.
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Thong Nguyen-Huy, Ravinesh C. Deo, Duc-Anh An-Vo, Shahbaz Mushtaq & Shahjahan Khan. (2017) Copula-statistical precipitation forecasting model in Australia’s agro-ecological zones. Agricultural Water Management 191, pages 153-172.
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