Choy, S.T. Boris; Chen, Cathy W.S.; Lin, Edward M.H. - In: Quantitative Finance 14 (2014) 7, pp. 1297-1313
A bivariate generalized autoregressive conditional heteroskedastic model with dynamic conditional correlation and leverage effect (DCC-GJR-GARCH) for modelling financial time series data is considered. For robustness it is helpful to assume a multivariate Student-<italic>t</italic> distribution for the...