Modelling long memory dependence structure using FIGARCH-copula approach : evidence from major Asian stock markets
Year of publication: |
2024
|
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Authors: | Gupta, Pankaj Kumar ; Mittal, Prabhat |
Published in: |
Global business & economics review. - Olney, Bucks : Inderscience Enterprises, ISSN 1745-1329, ZDB-ID 2231575-5. - Vol. 30.2024, 1, p. 56-71
|
Subject: | copula | fractionally integrated-GARCH | long memory | stock market | volatility forecasting | Aktienmarkt | Stock market | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Multivariate Verteilung | Multivariate distribution | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Asien | Asia | Aktienindex | Stock index |
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