Jenny K. Chen

Jointly Modeling Dynamic Dependence and Volatility in Natural Resource and Energy Indices Using a Multivariate t-Copula eGARCH Model

This study develops a robust framework for modeling dynamic volatility, asymmetry, and tail dependence in financial returns, focusing on the daily returns of Natural Resource Index (NRI) and the Oil and Gas Index (OGI). Standard multivariate volatility models, such as DCC-GARCH, often fail to adequately capture extreme...