A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

Journal of Business and Economic Statistics

Volumn 29, Issue 4, 2011, Pages 552-563

  Creal, Drew ^a   Koopman, Siem Jan ^b   Lucas, André ^b  

^a UNIVERSITY OF CHICAGO   (United States)

^b VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

Copula; Dynamic dependence; Multivariate Student t distribution

Indexed keywords

EID: 80053615097     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1198/jbes.2011.10070     Document Type: Article

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