On spatial contagion and multivariate GARCH models
From MaRDI portal
Publication:6570580
DOI10.1002/ASMB.1977MaRDI QIDQ6570580FDOQ6570580
Authors: Piotr Jaworski, Marcin Pitera
Publication date: 10 July 2024
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- On Bayesian Modeling of Fat Tails and Skewness
- Title not available (Why is that?)
- An introduction to copulas.
- Title not available (Why is that?)
- Title not available (Why is that?)
- A kolmogorov-smirnov type test for positive quadrant dependence
- Copula–Based Models for Financial Time Series
- Correlation and dependence
- De copulis non est disputandum. Copulae: an overview
- Copula theory and its applications. Proceedings of the workshop held in Warsaw, Poland, 25--26 September 2009
- Copula convergence theorems for tail events.
- Tail dependence from a distributional point of view
- Invariant dependence structure under univariate truncation: the high-dimensional case
- Limiting dependence structures for tail events, with applications to credit derivatives
- Invariant dependence structure under univariate truncation
- Spatial contagion between financial markets: a copula-based approach
- Univariate conditioning of copulas
- Multivariate GARCH Models
- On asymptotic theory for multivariate GARCH models
- Testing for volatility interactions in the Constant Conditional Correlation GARCH model
- Lower tail dependence for Archimedean copulas: characterizations and pitfalls
- Herd Behavior and Contagion in Financial Markets
- Empirical modelling of contagion: a review of methodologies
- A Spatial Contagion Test for Financial Markets
- Dynamic dependence ordering for Archimedean copulas and distorted copulas
This page was built for publication: On spatial contagion and multivariate GARCH models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6570580)