Now showing items 1-2 of 2

    • A comparison study of copula models for European Financial Index Returns 

      Tófoli, Paula Virgínia; Ziegelmann, Flavio Augusto; Silva Filho, Osvaldo Candido da (2017) [Journal article]
      In this paper, we introduce a new approach to modeling dependence between international financial returns over time, combining time-varying copulas and the Markov switching model. We apply these copula models and also those ...
    • Linear and non-linear regression models assuming a stable distribution 

      Achcar, Jorge Alberto; Lopes, Silvia Regina Costa (2016) [Journal article]
      In this paper, we present some computational aspects for a Bayesian analysis involving stable distributions. It is well known that, in general, there is no closed form for the probability density function of a stable ...