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