A comparison study of copula models for European Financial Index Returns

In this paper, we introduce a new approach to modeling dependence between international financial returns over time, combining time-varying copulas and the Markov switching model. We apply these copula models and also those proposedby Patton (2006), Jondeau and Rockinger (2006) and Silva Filho, Zieg...

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Bibliographic Details
Main Author: Tófoli, Paula Virgínia (author)
Other Authors: Ziegelmann, Flavio Augusto (author), Silva Filho, Osvaldo Candido da (author)
Format: other article
Language:eng
Published: 2018
Subjects:
Cópulas : Estatística
Cadeias de Markov
Estudo comparativo
Séries temporais
Econometria
copula -GARCH
IFM method
MarkGARCH
Markov switching model
Time-varyng copulas
Value at risk
Online Access:http://hdl.handle.net/10183/180057
Country:Brazil
Oai:oai:www.lume.ufrgs.br:10183/180057

Internet

http://hdl.handle.net/10183/180057

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