2014 | 203 | 134-142
Article title

Modele Copula M-GARCH o rozkładach niezmienniczych na transformacje ortogonalne

Title variants
Copula M-GARCH Models with Coordinate Free Conditional Distributions
Languages of publication
We discuss generalisation of the conditional distribution in GARCH model and present empirical analysis indicating its empirical importance. The model is a generalised version of those presented in Pipień (2007, 2010). The flexibility of the construct involves the existence of a set of coordinates along which the fat tails and asymmetry can be modelled. In the conditional distribution both linear and nonlinear dependence between individual returns can be modelled, while the latter being described by the copula function. In the empirical part of the paper the dynamics and dependence of daily returns of WIG20 SPOT and FUTURES are discussed.
Physical description
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Document Type
Publication order reference
YADDA identifier
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