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Application of Copula Functions in a Modelling of Relations in Multivariate Financial Time Series

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  • Krzysztof Jajuga

    (Wroclaw University of Economics)

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  • Krzysztof Jajuga, 2004. "Application of Copula Functions in a Modelling of Relations in Multivariate Financial Time Series," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 6, pages 15-24.
    • Handle: RePEc:cpn:umkdem:v:6:y:2004:p:15-24
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    File URL: http://www.dem.umk.pl/dem/archiwa/v6/02_Jajuga.pdf
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    References listed on IDEAS

    as
    1. Eric Jondeau & Michael Rockinger, 2002. "Conditional Dependency of Financial Series: The Copula-GARCH Model," FAME Research Paper Series rp69, International Center for Financial Asset Management and Engineering.
    2. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
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