ANALYZING COMOVEMENTS IN HOUSING PRICES USING VINE COPULAS.
Prior to the housing crisis, the Gaussian copula provided the basis for estimates of the degree of diversification of structured mortgage-based securities. The Gaussian copula's popularity stemmed not only from its link to the familiar normal distribution, but also from the fact that, unlike other c...
| Publicado en: | Economic Inquiry Vol. 53; no. 2; pp. 1156 - 1170 |
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| Formato: | Artículo |
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Wiley-Blackwell
Apr2015
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| Acceso en línea: | Ver este registro en EBSCOhost |