Jondeau, Eric; Rockinger, Michael - Swiss Finance Institute - 2002
distributions. We achieve this by using copula functions that link marginal distributions, and by expressing the parameter of the … copula as a function of predetermined variables. The marginal model is an autoregressive version of Hansen’s (1994) GARCH …-type model with time-varying skewness and kurtosis. Here, we extend, to a dynamic setting, the research that fo-cuses on …