Model assessment for time series dynamics using copula spectral densities: a graphical tool

DOI10.1016/j.jmva.2019.03.003zbMath1433.62253arXiv1804.01440OpenAlexW2962706000MaRDI QIDQ2001092

Stefan Birr, Tobias Kley, Stanislav Volgushev

Publication date: 2 July 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.01440

zbMATH Keywords

copulabootstrapfrequency domaintime seriesspectral density

Mathematics Subject Classification ID

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) Inference from stochastic processes and spectral analysis (62M15) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (4)

Nonlinear Spectral Analysis: A Local Gaussian Approach ⋮ A semi-parametric estimation method for the quantile spectrum with an application to earthquake classification using convolutional neural network ⋮ Editorial for the special issue on dependence models ⋮ The integrated copula spectrum

Uses Software

• Rugarch
• QPBoot

Cites Work

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