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(a) State Sklar's Theorem, giving both the main statement and its converse. Explain the relevance of the result from the point of view of studying dependencies between random variables and constructing multivariate models for applications. (b) Write down the full set of equations for a time series (X₂)tez following an AR(1) model with non-zero mean and ARCH(1) errors (c) Discuss any three implications of the univariate and multivariate stylized facts of financial returns to risk modeling S

(a) State Sklar's Theorem, giving both the main statement and its converse. Explain the relevance of the result from the point of view of studying dependencies between random variables and constructing multivariate models for applications. (b) Write down the full set of equations for a time series (X₂)tez following an AR(1) model with non-zero mean and ARCH(1) errors (c) Discuss any three implications of the univariate and multivariate stylized facts of financial returns to risk modeling S

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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4. (a) State Sklar's Theorem, giving both the main statement and its converse. Explain the relevance of the result from the point of view of studying dependencies between random variables and constructing multivariate models for applications. (b) Write down the full set of equations for a time series (X+) tez following an AR(1) model with non-zero mean and ARCH(1) errors (c) Discuss any three implications of the univariate and multivariate stylized facts of financial returns to risk modeling S 5 4-
Transcribed Image Text:4. (a) State Sklar's Theorem, giving both the main statement and its converse. Explain the relevance of the result from the point of view of studying dependencies between random variables and constructing multivariate models for applications. (b) Write down the full set of equations for a time series (X+) tez following an AR(1) model with non-zero mean and ARCH(1) errors (c) Discuss any three implications of the univariate and multivariate stylized facts of financial returns to risk modeling S 5 4-
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