Volatility and dynamic dependence modeling: review, applications, and financial risk management

DOI10.1002/WICS.1567zbMATH Open1544.62135MaRDI QIDQ6602371FDOQ6602371

Authors: Mike K. P. So, Amanda M. Y. Chu, Cliff C. Y. Lo, Chun Yin Ip 

Publication date: 11 September 2024

Published in: Wiley Interdisciplinary Reviews. WIREs Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

copulaGARCHrisk managementstochastic volatilityhigh-frequency data3H paradigm

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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