Bianchi, Carluccio; Giuli, Maria Elena De; Fantazzini, Dean - In: Applied Financial Economics 21 (2011) 21, pp. 1587-1597
Copula-GARCH models have been recently proposed in the financial literature as a statistical tool to deal with flexible multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine how misspecification in the marginals may...