New Zealand
Massey University - Department of Commerce
Tail dependence, Time varying two-parameter copula, Two-Stage Estimation, Threshold GARCH, Conditional skewed-t distribution, Goodness-of-fit test
Multivariate density forecast, Copula model, Superior predictive ability test, Multiple model comparison
generalised Pareto distribution, volatility filtering, VaR, expected shortfall, Asian equity markets
inflation targeting, exchange rate, asymmetric tail dependence, copula
