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Vine Copula-Cross Entropy Evaluation of Dependence Structure and Financial Risk in Agricultural Commodity Index Returns.
Songsak Sriboonchitta
Jianxu Liu
Aree Wiboonpongse
Published in:
TES (2014)
Keyphrases
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dependence structure
cross entropy
financial risk
evaluation metrics
marginal distributions
higher order statistics
log likelihood
maximum likelihood
markov networks
machine learning
feature vectors
probabilistic model
knn
evaluation measures
probabilistic graphical models
stochastic systems