Small sample properties of copula-GARCH modelling: a Monte Carlo study
Year of publication: |
2011
|
---|---|
Authors: | Bianchi, Carluccio ; Giuli, Maria Elena De ; Fantazzini, Dean ; Maggi, Mario |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 21.2011, 21, p. 1587-1597
|
Publisher: |
Taylor & Francis Journals |
Subject: | copulas | copula-GARCH models | maximum likelihood | simulation | small sample properties |
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