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
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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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0.8095108866691589
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0.7951638698577881
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0.7944181561470032
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0.7900152802467346
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0.7781270146369934
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