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NTIS 바로가기Communications for statistical applications and methods = 한국통계학회논문집, v.21 no.5, 2014년, pp.445 - 459
Kim, Woohwan (Financial Research & Implementation)
This paper investigates the dependence structure of Korean financial markets (stock, foreign exchange (FX) rates and bond) using copula-GARCH and dynamic conditional correlation (DCC) models. We examine GJR-GARCH with skewed elliptical distributions and four copulas (Gaussian, Student's t, Clayton a...
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