Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings

A. Opschoor, Andre Lucas, I. Barra, Dick Van Dijk

Research output: Working paper / Preprint › Working paper › Academic

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title = "Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings",

author = "A. Opschoor and Andre Lucas and I. Barra and {Van Dijk}, Dick",

year = "2019",

language = "English",

volume = "2019",

series = "TI Discussion Paper Series",

publisher = "Tinbergen Institute",

number = "013/IV",

edition = "013/IV",

type = "WorkingPaper",

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TY - UNPB

T1 - Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings

AU - Opschoor, A.

AU - Lucas, Andre

AU - Barra, I.

AU - Van Dijk, Dick

PY - 2019

Y1 - 2019

M3 - Working paper

VL - 2019

T3 - TI Discussion Paper Series

BT - Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings

PB - Tinbergen Institute

CY - Amsterdam

ER -