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Multivariate DCC-GARCH Model - With Various Error Distributions

Orskaug, Elisabeth

June 11, 2009

SAMBA

  • Filename: 5034/Orskaug_-_Multivariate_DCC-GARCH_Model_-_With_Various_Error.pdf
  • Areas: Bank, finans, forsikring og råvarer
  • Keywords: Multivariate GARCH, DCC, CCC, Volatility, Heavy tails
  • Page(s): 88
  • Name and number of project: 220363
  • Title: Multivariate DCC-GARCH Model - With Various Error Distributions
  • Author(s): Orskaug, Elisabeth
  • Report number: SAMBA/19/09
  • Published date: June 11, 2009

 

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Postal address: Norsk Regnesentral/Norwegian Computing Center, P.O. Box 114 Blindern, NO-0314 Oslo, Norway
Visit address: Norsk Regnesentral, Gaustadalleen 23a, Kristen Nygaards hus, NO-0373 Oslo.
Phone: (+47) 22 85 25 00
AddressHow to get to NR