A dynamic double asymmetric copula generalized autoregressive conditional heteroskedasticity model: application to China's and US stock market

DOI10.1080/02664763.2014.949639OpenAlexW1988025339MaRDI QIDQ5130150

Yan Fang, Ling Liu, Jin-Zhi Liu

Publication date: 4 November 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2014.949639

zbMATH Keywords

volatilitymultivariate GARCHdynamic asymmetric correlationskewed-\(t\) copula

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

A time-varying multivariate noncentral contaminated normal copula model and its application to the visualized dependence analysis of Hong Kong stock markets

Cites Work

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