Local estimation of dynamic copula models (Q3564992)
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scientific article; zbMATH DE number 5712992
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| English | Local estimation of dynamic copula models |
scientific article; zbMATH DE number 5712992 |
Statements
LOCAL ESTIMATION OF DYNAMIC COPULA MODELS (English)
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27 May 2010
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copulas
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local maximum likelihood estimation
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GARCH models
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value-at-risk
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0.8290586471557617
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0.8222206830978394
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0.8201412558555603
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0.8188774585723877
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