Modeling Stock Market Indexes With Copula Functions
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References listed on IDEAS
- Rob van den Goorbergh, 2004. "A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets," DNB Working Papers 022, Netherlands Central Bank, Research Department.
- John Davis, 2005. "Introduction," Journal of Economic Methodology, Taylor & Francis Journals, vol. 12(3), pages 361-361.
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- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
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More about this item
Keywordscopula function; GARCH model; conditional copula; DCC-MVGARCH; dynamic conditional copula; bootstrap;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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