SCOMDY models based on pair-copula constructions with application to exchange rates
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Publication:1623548
DOI10.1016/j.csda.2012.08.003zbMath1506.62130OpenAlexW2071428986MaRDI QIDQ1623548
Publication date: 23 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2012.08.003
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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The partial copula: properties and associated dependence measures, Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model, Parameter estimation for pair-copula constructions
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Cites Work
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