Copula-MGARCH with continuous covariance decomposition
type: Item
instance of: scholarly article
title: Copula-MGARCH with continuous covariance decomposition
zbMATH Open document ID: 1364.62275
author: Fabian H. C. Raters
author: Helmut Herwartz
published in: Economics Letters
publication date: 2017-06-09T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6728384
zbMATH Keywords: copula
zbMATH Keywords: MGARCH
zbMATH Keywords: covariance decomposition
zbMATH Keywords: value-at-risk
MaRDI profile type: Publication
full work available at URL: j.econlet.2015.05.023
OpenAlex ID: W1878749871
cites work: Q3412547
cites work: Q5778074
cites work: Copula-based multivariate GARCH model with uncorrelated dependent errors
cites work: An introduction to copulas.
DOI: 10.1016/J.ECONLET.2015.05.023
description: scientific article; zbMATH DE number 6728384