A dynamic double asymmetric copula generalized autoregressive conditional heteroskedasticity model: application to China's and US stock market

DOI10.1080/02664763.2014.949639MaRDI QIDQ5130150zbMATH OpenOpenAlexFDO

Authors Yan Fang, Ling Liu, Jin-Zhi Liu

Publication date 4 November 2020

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2014.949639

zbMATH Keywords

dynamic asymmetric correlationmultivariate GARCHskewed-\(t\) copulavolatility

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• A test for constant correlations in a multivariate GARCH model
• Asymptotic theory for a vector ARMA-GARCH model
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Copula-based multivariate GARCH model with uncorrelated dependent errors
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Estimating value at risk of portfolio by conditional copula-GARCH method
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• Modified Gaussian pseudo-copula: applications in insurance and finance
• Robust Likelihood Methods Based on the Skew-t and Related Distributions

Cited in

(6)

• Multivariate time-varying G-H copula GARCH model and its application in the financial market risk measurement
• A time-varying multivariate noncentral contaminated normal copula model and its application to the visualized dependence analysis of Hong Kong stock markets
• An applied study with a generalized bivariate mixture model in China stock market
• Multi-market direction-of-change modeling using dependence ratios
• The multivariate GARCH model and its application to East Asian financial market integration
• An economic evaluation of stock-bond return comovements with copula-based GARCH models

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