مرکز منطقه ای اطلاع رساني علوم و فناوري - The Copula-GARCH model of conditional dependencies: An international stock market application

Title of article :

The Copula-GARCH model of conditional dependencies: An international stock market application

Author/Authors :

Eric Jondeau، نويسنده , , Michael Rockinger، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2006

Pages :

From page :

827

To page :

853

Keywords :

Dependency , Stock indices , International correlation , GARCH model , Copula Function , Skewed Student-t distribution

Journal title :

Journal of International Money and Finance

Serial Year :

2006

Journal title :

Journal of International Money and Finance

Record number :

191540

Link To Document :