Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo
The Copula Multivariate GARCH (CMGARCH) model is based on a dynamic copula function with time-varying parameters. It is particularly suited for modelling dynamic dependence of non-elliptically distributed financial returns series. The model allows for capturing more flexible dependence patterns than...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2019-06-01
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| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2019-0006 |