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ARCH model
Copula
589
Multivariate Verteilung
444
Multivariate distribution
444
copula
423
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266
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247
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144
symmetry
126
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Kim, Jong-Min
5
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3
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3
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3
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2
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So, Leh-Chyan
2
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2
Xuan Vinh Vo
2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Duangthip Sirikanchanarak
1
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1
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1
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1
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1
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1
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1
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1
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1
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International review of economics & finance : IREF
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3
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2
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2
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2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
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2
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ECONIS (ZBW)
75
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1
Modelling multivariate skewness in financial returns : a SGARCH approach
De Luca, Giovanni
;
Loperfido, Nicola
- In:
The European journal of finance
21
(
2015
)
13/15
,
pp. 1113-1131
Persistent link: https://www.econbiz.de/10011419767
Saved in:
2
Dependent frequency-severity modeling of insurance claims
Shi, Peng
;
Feng, Xiaoping
;
Ivantsova, Anastasia
- In:
Insurance / Mathematics & economics
64
(
2015
),
pp. 417-428
Persistent link: https://www.econbiz.de/10011398126
Saved in:
3
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
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
Saved in:
4
Estimating dynamic
copula
dependence using intraday data
Grossmass, Lidan
;
Poon, Ser-Huang
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
4
,
pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
Saved in:
5
Asymmetric increasing trends in dependence in international equity markets
Okimoto, Tatsuyoshi
-
2014
Persistent link: https://www.econbiz.de/10011341996
Saved in:
6
A
copula
-GARCH model of conditional dependencies : estimating Tehran Market Stock Exchange value-at-risk
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
Saved in:
7
On the influence of autocorrelation and GARCH-effects on goodness-of-fit tests for copulas
Garmann, Sebastian
;
Grundke, Peter
- In:
The European journal of finance
19
(
2013
)
1/2
,
pp. 75-88
Persistent link: https://www.econbiz.de/10009733297
Saved in:
8
Influence of external factors on the Taiwan Stock Exchange
Huang, Chin-wen
- In:
The international journal of business and finance …
8
(
2014
)
4
,
pp. 109-120
Persistent link: https://www.econbiz.de/10010361313
Saved in:
9
Measuring rank correlation coefficients between financial time series : a GARCH-
copula
based sequence alignment algorithm
Laih, Yih-wenn
- In:
European journal of operational research : EJOR
232
(
2014
)
2
,
pp. 375-382
Persistent link: https://www.econbiz.de/10010224694
Saved in:
10
Analyzing dependence structure of equity, bond and money markets by using time-varying copulas
Nguyen, Cuong
;
Nguyen, Tristan
- In:
International journal of economics and finance
6
(
2014
)
3
,
pp. 37-54
Persistent link: https://www.econbiz.de/10010339644
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