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Modeling asymmetric and time-varying dependence

Maastricht : Universitaire Pers Maastricht
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Modeling Asymmetric and Time-Varying Dependence Hans Manner © Hans Manner, 2010 All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form, or by any means, electronic, mechanical, photocopying, recording or otherwise, without the prior permission in writing from the author. This book was typeset by the author using LATEX. Published by Universitaire Pers Maastricht ISBN: 978-90-5278-922-4 Printed in The Netherlands by Datawyse Maastricht Modeling Asymmetric and Time-Varying Dependence PROEFSCHRIFT ter verkrijging van de graad van doctor aan de Universiteit Maastricht, op gezag van de Rector Magnificus, Prof. mr. G.P.M.F. Mols, volgens het besluit van het College van Decanen, in het openbaar te verdedigen op donderdag 18 maart 2010 om 16.00 uur door Hans Manner Promotores: Prof. dr. F.C. Palm Prof. dr. J.R.Y.J Urbain Beoordelingscommissie: Prof. dr. P. Schotman (voorzitter) Prof. dr. A. Monfort Dr. A. J. Patton (Duke University, Durham, USA) Dit onderzoek werd gefinancieerd door de Maastricht Research School of Economics of Technology and Organizations (METEOR). Acknowledgements Many people have contributed to this thesis in ones way or another and helped me shape it the way it is. First of all I want to thank my supervisors Franz Palm and Jean-Pierre Urbain, who supported me greatly in my professional development, but also took an honest interest in my private life, which I highly appreciate. I thank the members of the Degree Committee, Peter Schotman, Alain Monfort and Andrew Patton, for taking the time to read and referee this thesis. I also want to thank my co-authors Bertrand Candelon, Christian Hafner, Johan Segers and Olga Reznikova for pleasant collaborations and for teaching me a lot. Next, I must mention Alain Hecq who woke my interest in copulas and supervised my master thesis on that topic, which turned into the first chapter

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