Archived publication
Archived publication
Multivariate DCC-GARCH Model - With Various Error Distributions
5034/Orskaug_-_Multivariate_DCC-GARCH_Model_-_With_Various_Error.pdf
June 11, 2009
SAMBA
- Filename: 5034/Orskaug_-_Multivariate_DCC-GARCH_Model_-_With_Various_Error.pdf
- Areas: Bank, finans, forsikring og rĂ¥varer
- Keywords: Multivariate GARCH, DCC, CCC, Volatility, Heavy tails
- Page(s): 88
- Name and number of project: 220363
- Title: Multivariate DCC-GARCH Model - With Various Error Distributions
- Author(s): Orskaug, Elisabeth
- Report number: SAMBA/19/09
- Published date: June 11, 2009