Showing 81 - 90 of 21,232
Persistent link: https://www.econbiz.de/10011398581
Persistent link: https://www.econbiz.de/10010337911
Persistent link: https://www.econbiz.de/10011480647
We develop a new methodology that measures conditional dependency. We achieve this by using copula functions that link marginal distributions, here chosen to obey a GARCH-type model with time-varying skewness and kurtosis. We apply this model to daily returns of stock-market indices. We find...
Persistent link: https://www.econbiz.de/10013134882
Persistent link: https://www.econbiz.de/10012700479
Persistent link: https://www.econbiz.de/10012653200
Persistent link: https://www.econbiz.de/10012620824
(MRS-MNTS-GARCH) to accommodate fat tails, volatility clustering and regime switch. The volatility of each asset …
Persistent link: https://www.econbiz.de/10013273511
Persistent link: https://www.econbiz.de/10013259540
Persistent link: https://www.econbiz.de/10012485378