Aussenegg, Wolfgang; Cech, Christian - Fachhochschule des BFI Wien - 2008
This article examines the ability of time-varying Gaussian and Student t copulas to accurately predict the probability … of the Eurostoxx50 and Dow Jones Industrial stock indices, Gaussian and Student t copulas are calibrated daily on a … distributions. Thus, the focus remains on the examination of the appropriateness of the two types of copulas. One of our findings is …