Open AccessDependence structure analysis with copula GARCH method and for data set suitable copula selection
Author(s) -
Ayşe Meti̇n Karakaş
Publication year - 2017
Publication title -
natural science and discovery
Language(s) - English
Resource type - Journals
ISSN - 2149-6307
DOI - 10.20863/nsd.302773
Subject(s) - copula (linguistics) , autoregressive conditional heteroskedasticity , akaike information criterion , econometrics , univariate , mathematics , statistics , multivariate t distribution , multivariate statistics , multivariate normal distribution , volatility (finance)