Modeling dependence dynamics of air pollution: Time series analysis using a copula based GARCH type model
This paper investigates the dependence structure between the Air Pollution Index (API) of Shenzhen and corresponding regional, national levels based on copula based GARCH models. In particular, time varying normal copula and time varying SJC copula are compared and employed to model the dependence s...
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| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2014
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| Online Access: | http://www.scopus.com/inward/record.url?eid=2-s2.0-84872800207&partnerID=40&md5=07a43b5014826a05ed5901ed7bead696 http://cmuir.cmu.ac.th/handle/6653943832/1226 |
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| Institution: | Chiang Mai University |
| Language: | English |