Bianchi, Carluccio; Fantazzini, Dean; De Giuli, Maria Elena - Dipartimento di Scienze Economiche e Aziendali, … - 2009
Copula-GARCH models have been recently proposed in the financial literature as a statistical tool to build flexible multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine how misspecification in the marginals may affect...