Copula-based multivariate GARCH model with uncorrelated dependent errors
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Publication:302191
DOI10.1016/j.jeconom.2008.12.008zbMath1429.62683OpenAlexW2044498584MaRDI QIDQ302191
Publication date: 4 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.12.008
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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