Orthogonal Transformation of Coordinates in Copula M-GARCH Models - Bayesian Analysis for WIG20 Spot and Futures Returns

  title={Orthogonal Transformation of Coordinates in Copula M-GARCH Models - Bayesian Analysis for WIG20 Spot and Futures Returns},
  author={Mateusz Pipień},
  journal={ERN: Time-Series Models (Single) (Topic)},
  • M. Pipień
  • Published 2 May 2013
  • Mathematics
  • ERN: Time-Series Models (Single) (Topic)
We check the empirical importance of some generalisations of the conditional distribution in M-GARCH case. A copula M-GARCH model with coordinate free conditional distribution is considered, as a continuation of research concerning specification of the conditional distribution in multivariate volatility models, see Pipien (2007) and (2010). The main advantage of the proposed family of probability distributions is that the coordinate axes, along which heavy tails and symmetry can be modelled… 
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