10-032/2 - A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

  • Authors
    Drew Creal, University of Chicago, Booth School of Business; Siem Jan Koopman, VU University Amsterdam; André Lucas, VU University Amsterdam
  • Publication date
    March 16, 2010
  • Keywords
    dynamic dependence, multivariate Student's t distribution, copula
  • JEL
    C10, C22, C32, C51
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