A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

Journal of Business and Economic Statistics - Tập 29 Số 4 - Trang 552-563 - 2011
Drew Creal1, Siem Jan Koopman2, André Lucas3
1Booth School of Business, University of Chicago, Chicago, IL 60637
2Department of Econometrics, VU University Amsterdam and Tinbergen Institute, Amsterdam, 1081 HV, The Netherlands
3Department of Finance, VU University Amsterdam, Duisenberg School of Finance, and Tinbergen Institute, Amsterdam, 1081 HV, The Netherlands

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Thông tin xuất bản

Journal of Business and Economic Statistics

Tập 29 Số 4

552-563

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