Vine-copula GARCH model with dynamic conditional dependence (Q1623562)

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Vine-copula GARCH model with dynamic conditional dependence
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    title
    Vine-copula GARCH model with dynamic conditional dependence (English)
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    author
    Mike K. P. So
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    Cherry Y. T. Yeung
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    publication date
    23 November 2018
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    Mathematics Subject Classification ID
    62-08
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    62H05
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    62H20
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    62M10
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    62P05
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    zbMATH DE Number
    6984001
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    zbMATH Keywords
    copula
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    GARCH
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    time varying dependence
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    vine decomposition
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    OpenAlex ID
    W3124798671
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