A dynamic double asymmetric copula generalized autoregressive conditional heteroskedasticity model: application to China's and US stock market (Q5130150)
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scientific article; zbMATH DE number 7269549
Language | Label | Description | Also known as |
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English | A dynamic double asymmetric copula generalized autoregressive conditional heteroskedasticity model: application to China's and US stock market |
scientific article; zbMATH DE number 7269549 |
Statements
A dynamic double asymmetric copula generalized autoregressive conditional heteroskedasticity model: application to China's and US stock market (English)
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4 November 2020
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volatility
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multivariate GARCH
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skewed-\(t\) copula
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dynamic asymmetric correlation
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