Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance,General Business, Management and Accounting,Accounting
Link
http://link.springer.com/content/pdf/10.1007/s11156-012-0311-2.pdf
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4. Ausin MC, Lopes HF (2010) Time-varying joint distribution through copulas. Comput Stat Data An 54:2383–2399
5. Bartram S, Taylor S, Wang Y-H (2007) The Euro and European financial market dependence. J Bank Financ 51:1461–1481
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