Copula–GARCH Time-Varying Tail Dependence

DOI10.1108/S0731-9053(2012)0000030018zbMath1452.62893OpenAlexW2481853469MaRDI QIDQ5133613

Jiaqi Chen, Unnamed Author

Publication date: 10 November 2020

Published in: Advances in Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/s0731-9053(2012)0000030018

zbMATH Keywords

copuladependencetime-varying tail

Mathematics Subject Classification ID

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

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