Vine-copula GARCH model with dynamic conditional dependence

DOI10.1016/j.csda.2013.08.008zbMath1506.62170MaRDI QIDQ1623562

Mike K. P. So, Cherry Y. T. Yeung

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2013.08.008

zbMATH Keywords

copula; GARCH; time varying dependence; vine decomposition

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H20: Measures of association (correlation, canonical correlation, etc.)

62H05: Characterization and structure theory for multivariate probability distributions; copulas

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