Empirical application of a bivariate dynamic gaussian copula model

Lupetti, Lorenzo (A.A. 2020/2021) Empirical application of a bivariate dynamic gaussian copula model. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 60. [Master's Degree Thesis]

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Abstract/Index

State of the art. Aim of the thesis. Thesis outline. Theoretical framework. Copula function. Gas model. Dynamic gaussian copula model. Model specification. Estimation of the marginal distributions parameter’s. Empirical application of the DGC model. Data description. Core of the model. Implications and possible strategies based on the results obtained.

References

Bibliografia: pp. 40-41.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair: Empirical finance
Thesis Supervisor: Santucci de Magistris, Paolo
Thesis Co-Supervisor: Carlini, Federico Carlo Eugenio
Academic Year: 2020/2021
Session: Extraordinary
Deposited by: Alessandro Perfetti
Date Deposited: 08 Sep 2022 10:04
Last Modified: 08 Sep 2022 10:04
URI: https://tesi.luiss.it/id/eprint/33250

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