Vine-copula GARCH model with dynamic conditional dependence (Q1623562)
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scientific article; zbMATH DE number 6984001
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Vine-copula GARCH model with dynamic conditional dependence |
scientific article; zbMATH DE number 6984001 |
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Vine-copula GARCH model with dynamic conditional dependence (English)
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23 November 2018
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copula
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GARCH
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time varying dependence
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vine decomposition
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0.8254125714302063
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0.8204559683799744
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0.8094266057014465
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0.7944580912590027
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