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Original Articles

Marginal or copula: which one is critical?

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Pages 1462-1465 | Published online: 20 Aug 2013

References

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  • Demarta , S. and McNeil , A. 2005 . The t copula and related copulas . International Statistical Review , 73 : 111 – 29 .
  • Engle, R. and Sheppard, K. (2001) Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH, NBER Working Paper No. 8554, NBER, Cambridge, MA.
  • Kupiec , P. 1995 . Techniques for verifying the accuracy of risk measurement models . Journal of Derivatives , 3 : 73 – 84 .

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