MODELING STOCK MARKET INDEXES WITH COPULA FUNCTIONS
Year of publication: |
2011
|
---|---|
Authors: | Leskow, Jacek ; Mokrzycka, Justyna ; Krawiec, Krzysztof |
Published in: |
"e-Finanse". - Instytut Gospodarki. - Vol. 7.2011, 2, p. 1-16
|
Publisher: |
Instytut Gospodarki |
Subject: | copula function | GARCH model | conditional copula | DCC-MVGARCH | dynamic conditional copula | bootstrap |
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