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:	Dependency GARCH model International correlation Skewed Student- t distribution Copula function Stock indices Business & Economics Business, Finance Social Sciences Autoregression (Statistics) Usage Models Stock markets Foreign securities Analysis Forecasts and trends Copula function G11 F37 Dependency GARCH model International correlation Skewed Student- t distribution Stock indices C51 SKEWNESS dependency international correlation CONSTANT ARCH MODELS HETEROSCEDASTICITY COMOVEMENTS EQUITY MARKETS TIME-SERIES skewed student-t distribution stock indices VOLATILITY HETEROSKEDASTICITY ASSET RETURNS
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