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

Journal of International Money and Finance, no. 5 (2006): 827-853

引用662|浏览16
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Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. When returns are non-normal, it is often simply impossible to specify the multivariate distribution relating two or more return series. In this context, we propose a new methodology based on copula functions, which consists...更多

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