Open AccessModelling Overnight and Daytime Returns Using a Multivariate GARCH-Copula Model
Author(s) -
Long Kang,
Simon H. Babbs
Publication year - 2010
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1572580
Subject(s) - copula (linguistics) , daytime , multivariate statistics , autoregressive conditional heteroskedasticity , econometrics , economics , statistics , mathematics , volatility (finance) , atmospheric sciences , geology
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