Lee, Tae-Hwy; Long, Xiangdong - In: Journal of Econometrics 150 (2009) 2, pp. 207-218
Multivariate GARCH (MGARCH) models are usually estimated under multivariate normality. In this paper, for non-elliptically distributed financial returns, we propose copula-based multivariate GARCH (C-MGARCH) model with uncorrelated dependent errors, which are generated through a linear...