Jondeau, Eric; Rockinger, Michael - 2002
COPULA-GARCH MODEL
Eric JONDEAU
Michael ROCKINGER
December 2002
INTERNATIONAL CENTER FOR FINANCIAL ASSET …-GARCH Model
Eric Jondeau
a
and Michael Rockinger
b,†
February 2001 (Revised: December 2002)
Abstract
We develop a new methodology …, rue Croix des Petits Champs, 75049
Paris, France, and ERUDITE, Université Paris 12 Val-de-Marne, e-mail: eric.jondeau …