HEINEN, Andréas; VALDESOGO, Alfonso - Center for Operations Research and Econometrics (CORE), … - 2009
deliver good forecasts of Value-atRisk.
Keywords: asymmetric dependence, high dimension, multivariate copula, multivariate … the joint study of large cross-sections of asset returns. The first multivariate
models that were proposed in the … & Wooldridge
(1988) and the BEKK model of Engle & Kroner (1995). For a recent survey of multivariate
GARCH models, see Bauwens …