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

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