Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Economics Bulletin 31 (2011) 4, pp. 3016-3029
In this paper we use a copula-based GARCH model to estimate conditional variances and covariances of the multivariate relationship among English, German and French markets. To that, we used daily prices of FTSE100, DAX and CAC from July 2009 to July 2011, totalizing 508 observations. The...