Copula-MGARCH with continuous covariance decomposition

Helmut Herwartz, Fabian H.C. Raters (Department of Economics, University of Göttingen)

Year of publication:	August 2015
Authors:	Herwartz, Helmut ; Raters, Fabian H. C.
Published in:	Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 133.2015, p. 73-76
Subject:	Copula \| MGARCH \| Covariance decomposition \| Value-at-Risk \| Korrelation \| Correlation \| Dekompositionsverfahren \| Decomposition method \| Multivariate Verteilung \| Multivariate distribution \| Risikomaß \| Risk measure \| Theorie \| Theory \| ARCH-Modell \| ARCH model \| Varianzanalyse \| Analysis of variance

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