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

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

Research output: Working paperAcademic

Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Institute
Number of pages49
Volume2019
Publication statusPublished - 2019

Publication series

NameTI Discussion Paper Series
PublisherTinbergen Institute
No.013/IV
Volume2019

Cite this

Opschoor, A., Lucas, A., Barra, I., & Van Dijk, D. (2019). Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings. (013/IV ed.) (TI Discussion Paper Series; Vol. 2019, No. 013/IV). Amsterdam: Tinbergen Institute.
Opschoor, A. ; Lucas, Andre ; Barra, I. ; Van Dijk, Dick. / Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings. 013/IV. ed. Amsterdam : Tinbergen Institute, 2019. (TI Discussion Paper Series; 013/IV).
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Opschoor, A, Lucas, A, Barra, I & Van Dijk, D 2019 'Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings' TI Discussion Paper Series, no. 013/IV, vol. 2019, 013/IV edn, Tinbergen Institute, Amsterdam.

Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings. / Opschoor, A.; Lucas, Andre; Barra, I.; Van Dijk, Dick.

013/IV. ed. Amsterdam : Tinbergen Institute, 2019. (TI Discussion Paper Series; Vol. 2019, No. 013/IV).

Research output: Working paperAcademic

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 -

Opschoor A, Lucas A, Barra I, Van Dijk D. Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings. 013/IV ed. Amsterdam: Tinbergen Institute. 2019. (TI Discussion Paper Series; 013/IV).