Multivariate Time-Varying G-H Copula GARCH Model and Its Application in the Financial Market Risk Measurement
Taking full advantage of the strengths of G-H distribution, Copula function, and GARCH model in depicting the return distribution of financial asset, we construct the multivariate time-varying G-H Copula GARCH model which can comprehensively describe “asymmetric, leptokurtic, and heavy-tail” charact...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2015-01-01
|
| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2015/286014 |