Copula-based multivariate GARCH model with uncorrelated dependent errors (Q302191): Difference between revisions
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| Property / Mathematics Subject Classification ID: 62P20 / rank | |||
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| Property / Mathematics Subject Classification ID: 62H05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / zbMATH DE Number: 6600712 / rank | |||
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copula | |||
| Property / zbMATH Keywords: copula / rank | |||
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density forecast | |||
| Property / zbMATH Keywords: density forecast / rank | |||
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MGARCH | |||
| Property / zbMATH Keywords: MGARCH / rank | |||
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non-normal multivariate distribution | |||
| Property / zbMATH Keywords: non-normal multivariate distribution / rank | |||
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uncorrelated dependent errors | |||
| Property / zbMATH Keywords: uncorrelated dependent errors / rank | |||
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Revision as of 22:10, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Copula-based multivariate GARCH model with uncorrelated dependent errors |
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Copula-based multivariate GARCH model with uncorrelated dependent errors (English)
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4 July 2016
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copula
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density forecast
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MGARCH
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non-normal multivariate distribution
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uncorrelated dependent errors
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