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Linear time-varying regression with a DCC-GARCH model for volatility
Kim, Jong-Min; Jung, Hojin; Qin, Li - In: Applied economics 48 (2016) 16/18, pp. 1573-1582
Persistent link: https://www.econbiz.de/10011456689
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Linear time-varying regression with Copula-DCC-GARCH models for volatility
Kim, Jong-Min; Jung, Hojin - In: Economics letters 145 (2016), pp. 262-265
Persistent link: https://www.econbiz.de/10011618857
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A quantile-copula approach to dependence between financial assets
Kim, Jong-Min; Tabacu, Lucia; Jung, Hojin - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012659570