A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Year of publication: |
2010
|
---|---|
Authors: | Creal, Drew ; Koopman, Siem Jan ; Lucas, André |
Publisher: |
Rotterdam [u.a.] : Tinbergen Inst. |
Subject: | dynamic dependence | multivariate Student's t distribution | copula | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Volatilität | Volatility | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Korrelation | Correlation | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income |
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