Linear time-varying regression with Copula-DCC-GARCH models for volatility
Jong-Min Kim, Hojin Jung
| Year of publication: |
August 2016
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|---|---|
| Authors: | Kim, Jong-Min ; Jung, Hojin |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 145.2016, p. 262-265
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| Subject: | Volatility | Time-varying parameter | Copula | GARCH | Forecasting | Volatilität | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Multivariate Verteilung | Multivariate distribution | Zeitreihenanalyse | Time series analysis | Regressionsanalyse | Regression analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2016.06.027 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011618857