Klein, Ingo; Köck, Christian; Tinkl, Fabian - Friedrich-Alexander-Universität <Erlangen-Nürnberg>; … - 2009
The serial dependency of multivariate nancial data will often be ltered by con-sidering the residuals of univariate GARCH models adapted to every single series.This is the correct ltering strategy if the multivariate process follows a so-calledcopula based multivariate dynamic model (CMD). These...