Multivariate Time-Varying G-H Copula GARCH Model and Its Application in the Financial Market Risk Measurement

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...

Full description

Bibliographic Details
Main Authors: Qi-an Chen, Dan Wang, Mingyong Pan
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

Similar Items

Similar Items