The Copula-GARCH model of conditional dependencies: An international stock market application

Journal of International Money and Finance

Volumn 25, Issue 5, 2006, Pages 827-853

  Jondeau, Eric ^a   Rockinger, Michael ^a  

^a UNIVERSITY OF LAUSANNE   (Switzerland)

Author keywords

Copula function; Dependency; GARCH model; International correlation; Skewed Student t distribution; Stock indices

Indexed keywords

EID: 33748437206     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2006.04.007     Document Type: Article

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