-called copula based multivariate dynamic model (CMD). These multivariate dynamic models combine univariate GARCH in a linear or … of view. Up to now, it is not known which dynamic copula is incorporated in a BEKK model. We will show that if the … series. Furthermore we will show, that a diagonal BEKK model can be separated in its margins and a copula, but that this …

large computational gains in DSGE model estimation. The history of the draws is used to continuously improve a t-copula … ; Copula …