Linear time-varying regression with copula-DCC-GARCH models for volatility

DOI10.1016/j.econlet.2016.06.027zbMath1400.62182OpenAlexW2300922742MaRDI QIDQ1670220

Jong-Min Kim, Hojin Jung

Publication date: 5 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.06.027

zbMATH Keywords

copulaGARCHforecastingvolatilitytime-varying parameter

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (1)

Profile likelihood approaches for semiparametric copula and frailty models for clustered survival data

Uses Software

• rmgarch

Cites Work

• Unnamed Item
• ARCH modeling in finance. A review of the theory and empirical evidence
• A Reality Check for Data Snooping
• A Survey on Time-Varying Copulas: Specification, Simulations, and Application

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