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What is Conditional Copula

Chapter 48
Encyclopedia of Business Analytics and Optimization
The concept has been introduced by Patton (2006) as an extension of Sklar’s (1959) theorem and incorporates both marginal and joint conditional distributions.
Published in Chapter:
Copula-Based Multivariate Time Series Models
Iva Mihaylova (University of St. Gallen, Switzerland)
Copyright: © 2014 |Pages: 13
DOI: 10.4018/978-1-4666-5202-6.ch048
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