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11-125/4 - Forecasting Volatility with Copula-Based Time Series Models

  • Authors
    Oleg Sokolinskiy, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam
  • Publication date
    September 5, 2011
  • Keywords
    Nonlinear dependence, long memory, copulas, volatility forecasting
  • JEL
    C22, C53, C58, G17
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