Small sample properties of copula-GARCH modelling: a Monte Carlo study

Author: Bianchi Carluccio   De Giuli Maria Elena   Fantazzini Dean   Maggi Mario  

Publisher: Routledge Ltd

ISSN: 1466-4305

Source: Applied Financial Economics, Vol.21, Iss.21, 2011-11, pp. : 1587-1597

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Abstract