Copulas and long memory

DOI10.1214/14-PS233zbMath1386.60250OpenAlexW3124384038MaRDI QIDQ1688925

George Lentzas, Rustam Ibragimov

Publication date: 12 January 2018

Published in: Probability Surveys (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ps/1513069215

zbMATH Keywords

copulaspersistenceGARCHlong memory processesautocorrelationsvolatilitymeasures of dependenceshort memory processes

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (4)

Stationary vine copula models for multivariate time series ⋮ Goodness-of-fit test of copula functions for semi-parametric univariate time series models ⋮ Efficient estimation of copula-based semiparametric Markov models ⋮ Copula-based time series with filtered nonstationarity

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