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- W2213232680 abstract "Cet article presente un survol les techniques usuelles de modelisation de series nancieres multiples. Pus speciquement, on cherchera a obtenir une extention multivariee des modeles GARCH. Dans un premier temps, nous verrons comment modeliser la dynamique de la matrice de correlation (conditionnelle), puis nous verrons comment generaliser cette approche a des lois conditionnelles plus generales, construites a l'aide de copules (et s'aranchir ainsi de l'hypothese de lois elliptiques). Les principaux concepts presentes dans cet article seront illustres sur des series de rendements de prix du petrole (Brent, Dubai et Maya)." @default.
- W2213232680 created "2016-06-24" @default.
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- W2213232680 date "2015-05-12" @default.
- W2213232680 modified "2023-09-23" @default.
- W2213232680 title "Prévision avec des copules en finance" @default.
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