Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013
means of conditional moments of simulated bivariate standardized copula distributions. We conduct in-sample forecasting … comparisons for a set of 18 stock market indices. In total, four competing copula-GARCH models are contrasted against each other …, especially the Frank-GARCH models provide most conservative risk forecasts and out-perform all rival models. -- Copula …
