Archived publication

Archived publication

Multivariate DCC-GARCH Model - With Various Error Distributions

Orskaug, Elisabeth

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