11-175/2 - Long Memory Dynamics for Multivariate Dependence under Heavy Tails

• Authors
  Pawel Janus, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; André Lucas, VU University Amsterdam
• Publication date
  December 12, 2011

• Keywords
  fractional integration, correlation, Student's t copula, time-varying dependence, multivariate volatility
• JEL
  C10, C22, C32, C51