A multivariate volatility vine copula model
E. C. Brechmann, M. Heiden and Y. Okhrin
| Year of publication: |
2018
|
|---|---|
| Authors: | Brechmann, E. C. ; Heiden, M. ; Okhrin, Y. |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 37.2018, 1/5, p. 281-308
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| Subject: | Copula | forecasting | realized covariances | realized volatility | vine | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Prognoseverfahren | Forecasting model | Multivariate Analyse | Multivariate analysis | ARCH-Modell | ARCH model | Korrelation | Correlation | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2015.1096695 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012038690