A Multivariate Volatility Vine Copula Model
Year of publication: |
2015
|
---|---|
Authors: | Brechmann, Eike |
Other Persons: | Heiden, Moritz (contributor) ; Okhrin, Yarema (contributor) |
Publisher: |
[2015]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Multivariate Analyse | Multivariate analysis | ARCH-Modell | ARCH model | Theorie | Theory |
Description of contents: | Abstract [papers.ssrn.com] |
Extent: | 1 Online-Ressource |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Econometric Reviews, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 5, 2015 erstellt Volltext nicht verfügbar |
Classification: | C32 - Time-Series Models ; c46 ; C52 - Model Evaluation and Testing ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
-
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew, (2010)
-
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł, (2011)
-
Realized Wishart-GARCH : a score-driven multi-Asset volatility model
Hansen, Peter Reinhard, (2016)
- More ...
-
Forecasting Volatility with Empirical Similarity and Google Trends
Heiden, Moritz, (2015)
-
Pitfalls of the Cholesky Decomposition for Forecasting Multivariate Volatility
Heiden, Moritz, (2015)
-
Forecasting volatility with empirical similarity and Google Trends
Hamid, Alain, (2015)
- More ...