Linear time-varying regression with copula-DCC-GARCH models for volatility
type: Item
instance of: scholarly article
title: Linear time-varying regression with copula-DCC-GARCH models for volatility
zbMATH Open document ID: 1400.62182
author: Jong-Min Kim
author: Hojin Jung
published in: Economics Letters
publication date: 2018-09-05T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62H05
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62J05
zbMATH DE Number: 6932050
zbMATH Keywords: volatility
zbMATH Keywords: time-varying parameter
zbMATH Keywords: copula
zbMATH Keywords: GARCH
zbMATH Keywords: forecasting
describes a project that uses: rmgarch
MaRDI profile type: Publication
full work available at URL: j.econlet.2016.06.027
OpenAlex ID: W2300922742
cites work: ARCH modeling in finance. A review of the theory and empirical evidence
cites work: A Survey on Time-Varying Copulas: Specification, Simulations, and Application
cites work: Q4043845
cites work: A Reality Check for Data Snooping
DOI: 10.1016/J.ECONLET.2016.06.027
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description: scientific article; zbMATH DE number 6932050