Linear time-varying regression with Copula-DCC-GARCH models for volatility
Year of publication: |
August 2016
|
---|---|
Authors: | Kim, Jong-Min ; Jung, Hojin |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 145.2016, p. 262-265
|
Subject: | Volatility | Time-varying parameter | Copula | GARCH | Forecasting | Volatilität | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Multivariate Verteilung | Multivariate distribution | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory |
-
Linear time-varying regression with a DCC-GARCH model for volatility
Kim, Jong-Min, (2016)
-
Kim, Yunsun, (2023)
-
Forecasting volatility of stock indices with ARCH model
Alam, Md. Zahangir, (2013)
- More ...
-
Linear time-varying regression with a DCC-GARCH model for volatility
Kim, Jong-Min, (2016)
-
Estimating yield spreads volatility using GARCH-type models
Kim, Jong-Min, (2021)
-
A quantile-copula approach to dependence between financial assets
Kim, Jong-Min, (2020)
- More ...