Modelling volatility dependence with score copula models

DOI10.1515/snde-2022-0006MaRDI QIDQ6553228

Willy Alanya-Beltran

Publication date: 11 June 2024

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

zbMATH Keywords

stock returnsemerging marketsscore-driven copulastwo-components

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Autoregressive Conditional Density Estimation
• The Stationary Bootstrap
• Modeling the Interactions between Volatility and Returns using EGARCH‐M
• Time‐series models with an EGB2 conditional distribution
• Tests of Conditional Predictive Ability
• On a Measure of Dependence Between two Random Variables
• A new look at the statistical model identification
• Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
• Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads

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