Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes
Year of publication: |
2012
|
---|---|
Authors: | Bodnar, Taras |
Other Persons: | Hautsch, Nikolaus (contributor) |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Korrelation | Correlation | Theorie | Theory | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution |
Extent: | 1 Online-Ressource (29 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 15, 2012 erstellt |
Other identifiers: | 10.2139/ssrn.2144741 [DOI] |
Classification: | C32 - Time-Series Models ; c58 ; c46 |
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)
-
Multivariate dynamic Copula models : parameter estimation and forecast evaluation
Aepli, Matthias Daniel, (2015)
- More ...
-
Copula-based dynamic conditional correlation multiplicative error processes
Bodnar, Taras, (2013)
-
Copula-based dynamic conditional correlation multiplicative error processes
Bodnar, Taras, (2013)
-
Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes
Bodnar, Taras, (2012)
- More ...