A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

DOI10.1198/JBES.2011.10070MaRDI QIDQ6666826

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Publication date: 20 January 2025

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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