Browsing NTNU Open by Author "Orskaug, Elisabeth"
Now showing items 1-1 of 1
-
Multivariate DCC-GARCH Model: -With Various Error Distributions
Orskaug, Elisabeth (Master thesis, 2009)In this thesis we have studied the DCC-GARCH model with Gaussian, Student's $t$ and skew Student's t-distributed errors. For a basic understanding of the GARCH model, the univariate GARCH and multivariate GARCH models in ...