Dynamic copulas for monotonic dependence change in time series

DOI10.1007/S13571-022-00281-6OpenAlexW4280629173MaRDI QIDQ2091330

Carole Beaulieu, Pierre Dutilleul, Antoine Bergeron, Taoufik Bouezmarni

Publication date: 1 November 2022

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13571-022-00281-6

zbMATH Keywords

inference functions for marginsdynamic versus static bivariate copulasproperties of estimatorstime-series dependence modeling

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Economic time series analysis (91B84)

Cites Work

• Unnamed Item
• Unnamed Item
• Semi-parametric copula-based models under non-stationarity
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Copula-based semiparametric models for multivariate time series
• Estimating the dimension of a model
• An introduction to copulas. Properties and applications
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• A new look at the statistical model identification

This page was built for publication: Dynamic copulas for monotonic dependence change in time series