We build a class of copula models that captures time-varying dependence across large panels of financial assets. Our models nest Gaussian, Student's t, grouped Student's t, and generalized hyperbolic ...
As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...
MacKenzie is a very smart sociologist, who understands quants and copula functions much more deeply than I ever did. (And, like most journalists, I forgot nearly all of what I ever knew about them ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results