Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study
Year of publication: |
2009-02
|
---|---|
Authors: | Bianchi, Carluccio ; Fantazzini, Dean ; De Giuli, Maria Elena ; Maggi, Mario |
Institutions: | Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia |
Subject: | Copulas | Copula-GARCH models | Maximum Likelihood | Simulation | Small Sample Properties |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 093 72 pages |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C63 - Computational Techniques |
Source: |
-
Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study
Bianchi, Carluccio, (2009)
-
Small sample properties of Copula-GARCH modelling : a Monte Carlo study
Bianchi, Carluccio, (2009)
-
Small sample properties of copula-GARCH modelling: a Monte Carlo study
Bianchi, Carluccio, (2011)
- More ...
-
A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting
Bianchi, Carluccio, (2009)
-
Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study
Bianchi, Carluccio, (2009)
-
Small sample properties of copula-GARCH modelling : a Monte Carlo study
Bianchi, Carluccio, (2011)
- More ...