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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Volume: | 25 |
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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: | |
Online Access: | available in Bonn? |
Database: | Social Sciences Citation Index Web of Science - Social Sciences Citation Index - 2006 Web of Knowledge Web of Science RePEc RePEc IDEAS CrossRef Academic OneFile (A&I only) Database information Databases - DBIS |