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Small sample properties of copula-GARCH modelling: a Monte Carlo study
Bianchi, Carluccio; Giuli, Maria Elena De; Fantazzini, Dean - In: Applied Financial Economics 21 (2011) 21, pp. 1587-1597
how misspecification in the marginals may affect the estimation of the dependence function represented by the copula. We …
Persistent link: https://www.econbiz.de/10009278623
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A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting
Bianchi, Carluccio; Carta, Alessandro; Fantazzini, Dean; … - Dipartimento di Scienze Economiche e Aziendali, … - 2009
modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a … rich dependence structure and more flexible marginal distributions that better fit the features of empirical data, such as …
Persistent link: https://www.econbiz.de/10009651073
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Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study
Bianchi, Carluccio; Fantazzini, Dean; De Giuli, Maria Elena - Dipartimento di Scienze Economiche e Aziendali, … - 2009
how misspecification in the marginals may affect the estimation of the dependence function represented by the copula. We …
Persistent link: https://www.econbiz.de/10009651792
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A Unified Copula Framework for VaR forecasting
Fantazzini, Dean; Carta, Alessandro; DeGiuli, Elena Maria - Society for Computational Economics - SCE - 2006
This paper examines different multivariate models to evaluate what are the main determinants when doing VaR forecasts for a portfolio of assets. To achieve this goal, we unify past multivariate models by using a general copula framework and we propose many new extensions. We differentiate the...
Persistent link: https://www.econbiz.de/10005342981
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A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting
Bianchi, Carluccio; Carta, Alessandro; Fantazzini, Dean; … - 2009
modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a … rich dependence structure and more flexible marginal distributions that better fit the features of empirical data, such as …
Persistent link: https://www.econbiz.de/10010335245
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Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study
Bianchi, Carluccio; Fantazzini, Dean; De Giuli, Maria Elena - 2009
how misspecification in the marginals may affect the estimation of the dependence function represented by the copula. We …
Persistent link: https://www.econbiz.de/10010335297
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Small sample properties of Copula-GARCH modelling : a Monte Carlo study
Bianchi, Carluccio; De Giuli, Maria Elena; Fantazzini, Dean - 2009
how misspecification in the marginals may affect the estimation of the dependence function represented by the copula. We …
Persistent link: https://www.econbiz.de/10010259914
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A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting
Bianchi, Carluccio; Carta, Alessandro; Fantazzini, Dean; … - 2009
modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a … rich dependence structure and more flexible marginal distributions that better fit the features of empirical data, such as …
Persistent link: https://www.econbiz.de/10010343909