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De Luca, Giovanni; Loperfido, Nicola - In: The European journal of finance 21 (2015) 13/15, pp. 1113-1131

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Shi, Peng; Feng, Xiaoping; Ivantsova, Anastasia - In: Insurance / Mathematics & economics 64 (2015), pp. 417-428

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Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010

representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on dependence structures …

Persistent link: https://www.econbiz.de/10011380135

Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529

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Okimoto, Tatsuyoshi - 2014

Persistent link: https://www.econbiz.de/10011341996

Shams, Sedigheh; Haghighi, Fatemeh K. - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 39-50

based on fitting ARIMA, GARCH and ARMA-GARCH models and copula functions is applied. In such methodology, the dependency …

Persistent link: https://www.econbiz.de/10009769897

Garmann, Sebastian; Grundke, Peter - In: The European journal of finance 19 (2013) 1/2, pp. 75-88

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Huang, Chin-wen - In: The international journal of business and finance … 8 (2014) 4, pp. 109-120

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Nguyen, Cuong; Nguyen, Tristan - In: International journal of economics and finance 6 (2014) 3, pp. 37-54

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