The Copula-GARCH model of conditional dependencies: An international stock market application

Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. When returns are non-normal, it is often simply impossible to specify the multivariate distribution relating two or more return series. In this context, we propose a new methodology b...

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Bibliographic details
Volume: 25
Main Author: Jondeau, Eric
Rockinger, Michael
Format: Journal Article
Language: English
Zielgruppe: Professional
Academic
Place of publication: OXFORD Elsevier Ltd 2006
ELSEVIER SCI LTD
Elsevier
Elsevier B.V
published in: Journal of international money and finance Vol. 25; no. 5; pp. 827 - 853
Data of publication: 2006
ISSN: 0261-5606
1873-0639
EISSN: 1873-0639
Discipline: Business
Series: Journal of International Money and Finance
Subjects:
G11
F37
C51
Online Access: available in Bonn?
Database: Social Sciences Citation Index
Web of Science - Social Sciences Citation Index - 2006
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