Copula-based multivariate GARCH model with uncorrelated dependent errors

Journal of Econometrics

Volumn 150, Issue 2, 2009, Pages 207-218

  Lee, Tae Hwy ^a   Long, Xiangdong ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

Copula; Density forecast; MGARCH; Non normal multivariate distribution; Uncorrelated dependent errors

Indexed keywords

COPULA; DENSITY FORECAST; MGARCH; NON-NORMAL MULTIVARIATE DISTRIBUTION; UNCORRELATED DEPENDENT ERRORS;

CLUSTER ANALYSIS; ECONOMIC ANALYSIS; FORECASTING; MICROWAVE ANTENNAS; NORMAL DISTRIBUTION; RANDOM ERRORS; RANDOM VARIABLES; REGRESSION ANALYSIS;

DISCRIMINANT ANALYSIS;

EID: 67349097778     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.12.008     Document Type: Article

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