In this paper a class of multivariate dispersion models generated from the multivariate Gaussian copula is presented. Being a multivariate extension of Jørgensen's (1987a) dispersion models, this ...

In this module, we will introduce generalized linear models (GLMs) through the study of binomial data. In particular, we will motivate the need for GLMs; introduce the binomial regression model, ...

In this article we propose a new multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) model with time-varying correlations. We adopt the vech representation based on the ...