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Efficient estimation of copula-GARCH models · Study

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ArticleEfficient estimation of copula-GARCH models

Yan Liu2008

Article2008

Efficient estimation of copula-GARCH models

Yan Liu · Richard Luger

46 citations·0/0 files stored·Computational Statistics & Data Analysis

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Statistical Distribution Estimation and Applications

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References

1986Generalized autoregressive conditional heteroskedasticity 2006The Copula-GARCH model of conditional dependencies: An international stock market application 2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation 2006Estimation of multivariate models for time series of possibly different lengths 2006Dependence patterns across financial markets: a mixed copula approach 2007The Euro and European financial market dependence 1996Analytic derivatives and the computation of GARCH estimates 2004International Cross-Listing and the Bonding Hypothesis

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2015Truncation of vine copulas using fit indices 2015Mixture pair-copula-constructions

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Year2008

Typearticle

Published2008-02-05

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations46

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2008.01.018

openalex_workW2010610393

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