Copula-MGARCH with continuous covariance decomposition

DOI10.1016/j.econlet.2015.05.023zbMath1364.62275OpenAlexW1878749871MaRDI QIDQ529780

Fabian H. C. Raters, Helmut Herwartz

Publication date: 9 June 2017

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.05.023

zbMATH Keywords

copulavalue-at-riskcovariance decompositionMGARCH

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Related Items (1)

A simple and focused backtest of value at risk

Cites Work

• Copula-based multivariate GARCH model with uncorrelated dependent errors
• An introduction to copulas.
• Unnamed Item
• Unnamed Item

This page was built for publication: Copula-MGARCH with continuous covariance decomposition