Prévision avec des copules en finance

Preprint French OPEN
Charpentier , Arthur; (2015)
  • Publisher: HAL CCSD
  • Subject: séries temporelles | [ SHS.ECO ] Humanities and Social Sciences/Economies and finances | GARCH | prévision | pétrole | copules | [ MATH.MATH-ST ] Mathematics [math]/Statistics [math.ST] | pétrole,finance,séries temporelles,copules,GARCH,prévision | finance

Cet article présente un survol les techniques usuelles de modélisation de séries nancières multiples. Pus spéciquement, on cherchera a obtenir une extention multivariée des modèles GARCH. Dans un premier temps, nous verrons comment modéliser la dynamique de la matrice d... View more
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