Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models (Q4620154)
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scientific article; zbMATH DE number 7015454
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models |
scientific article; zbMATH DE number 7015454 |
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Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models (English)
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8 February 2019
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stock return dependence
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time-varying copula
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D-vines
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efficient importance sampling
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sequential estimation
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generalized autoregressive score
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time series
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