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Conditional Dependency of Financial Series: The Copula-GARCH Model

This paper developes a new methodology to measure conditional dependency between time series each driven by complicated marginal distributions.
Year of publication:
2002-12-01
Authors: Jondeau, Eric ; Rockinger, Michael
Publisher: International Center for Financial Asset Management and Engineering (FAME) <Genf>
Subject: Aktienindex | GARCH-Prozess | t-Verteilung | Korrelationsanalyse
  • 1. Introduction
  • 2. Copula distribution functions
  • 3. A model for the marginal distributions
  • 4. Empirical results
  • 5. Further research topics
Persistent link: https://www.econbiz.de/10005843431
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