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Common factors in conditional distributions for bivariate time series

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Author Info
Granger, Clive W.J.
Terasvirta, Timo
Patton, Andrew J.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4FMK8MH-6/2/8df7b4317d3573df668ff2484d17c829
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 132 (2006)
Issue (Month): 1 (May)
Pages: 43-57
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Handle: RePEc:eee:econom:v:132:y:2006:i:1:p:43-57

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  1. Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368336_v1, HAL. [Downloadable!]
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  2. Dominique Guegan & Cyril Caillault, 2008. "Forecasting VaR and Expected shortfall using dynamical Systems : a risk Management Strategy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00185374_v1, HAL. [Downloadable!]
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  3. Param Silvapulle & Xibin Zhang, 2006. "Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures," Monash Econometrics and Business Statistics Working Papers 9/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  4. Power, Gabriel J. & Vedenov, Dmitry V., 2008. "The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37609, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
  5. Andrew J. Patton, 2008. "Copula-Based Models for Financial Time Series," OFRC Working Papers Series 2008fe21, Oxford Financial Research Centre. [Downloadable!]
  6. Dominique Guegan & Jing Zhang, 2009. "Change analysis of dynamic copula for measuring dependence in multivariate financial data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368334_v1, HAL. [Downloadable!]
    Other versions:
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