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So, Mike K. P.; Chu, Amanda M. Y.; Lo, Cliff C. Y.; Ip, Chun Yin

Volatility and dynamic dependence modeling: review, applications, and financial risk management. (English) Zbl 07910982

Wiley Interdiscip. Rev., WIREs Comput. Stat. 14, No. 5, Article ID e1567, 21 p. (2022).

Cited in 3 Documents

MSC:

62-08 Computational methods for problems pertaining to statistics

Keywords:

copula; GARCH; high-frequency data; risk management; stochastic volatility; 3H paradigm
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