Multivariate dynamic Copula models : parameter estimation and forecast evaluation
Year of publication: |
2015 ; This version: June 2015
|
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Authors: | Aepli, Matthias Daniel ; Frauendorfer, Karl ; Füss, Roland ; Paraschiv, Florentina |
Publisher: |
St. Gallen : School of Finance, Univ. of St. Gallen |
Subject: | Multivariate dynamic copulas | regime-switching copulas | dynamic conditional correlation (DCC) model | forecast performance | tail dependence | Multivariate Verteilung | Multivariate distribution | Multivariate Analyse | Multivariate analysis | Theorie | Theory | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Statistische Verteilung | Statistical distribution |
Extent: | Online-Ressource (45 S.) graph. Darst. |
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Series: | Working papers on finance. - Sankt Gallen, ZDB-ID 2252526-9. - Vol. 2015,13 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: PDF Reader |
Other identifiers: | 10.2139/ssrn.2657383 [DOI] |
Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications |
Source: | ECONIS - Online Catalogue of the ZBW |
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