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Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - In: International journal of forecasting 39 (2023) 2, pp. 720-735

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Kamdem, J. Sadefo - In: Journal of quantitative economics : official journal of … 9 (2011) 2, pp. 58-72

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Jeleskovic, Vahidin; Meloni, Mirko; Younas, Zahid Irshad - 2020

, 1h) are included in the estimation of univariate GARCH models, to be used in combination with copula functions for VaR …

Persistent link: https://www.econbiz.de/10012542685

Karmakar, Madhusudan; Paul, Samit - In: International journal of forecasting 35 (2019) 2, pp. 699-709

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Shams, Sedigheh; Haghighi, Fatemeh K. - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 39-50

based on fitting ARIMA, GARCH and ARMA-GARCH models and copula functions is applied. In such methodology, the dependency …

Persistent link: https://www.econbiz.de/10009769897