Modelling volatility dependence with score copula models

DOI10.1515/SNDE-2022-0006MaRDI QIDQ6553228zbMATH OpenFDO

Authors Willy Alanya-Beltran

Publication date 11 June 2024

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/SNDE-2022-0006

zbMATH Keywords

emerging marketsscore-driven copulasstock returnstwo-components

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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• Autoregressive Conditional Density Estimation
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• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 3336465 (Why is no real title available?)
• Modeling the interactions between volatility and returns using EGARCH-M
• On a Measure of Dependence Between two Random Variables
• Tests of Conditional Predictive Ability
• The Stationary Bootstrap
• Time-series models with an EGB2 conditional distribution
• Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads

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