Copula-based time series with filtered nonstationarity
From MaRDI portal
Publication:2116363
DOI10.1016/j.jeconom.2020.10.008OpenAlexW3044670813MaRDI QIDQ2116363
Publication date: 16 March 2022
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d22/d2242.pdf
nonlinearitycointegrationunit rootnonstationaritysemiparametricgenerated regressorstail dependenceGNP and CAY residualsresidual copula
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Estimation of copula-based semiparametric time series models
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- A review of copula models for economic time series
- Copula-based semiparametric models for multivariate time series
- Some aspects of modeling dependence in copula-based Markov chains
- Weak convergence for weighted empirical processes of dependent sequences
- Efficient estimation of copula-based semiparametric Markov models
- Weighted empirical and quantile processes
- Inequalities for absolutely regular sequences: application to density estimation
- Copulas and long memory
- Asymptotic efficiency of the two-stage estimation method for copula-based models
- Nonlinear Dynamic Structures
- COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES
- Copula-based nonlinear quantile autoregression
- Copula–Based Models for Financial Time Series
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Time to Build and Aggregate Fluctuations
- Limiting behavior of U-statistics for stationary, absolutely regular processes
- Vine Copula Specifications for Stationary Multivariate Markov Chains
- Copulas and Temporal Dependence
- Simulated Method of Moments Estimation for Copula-Based Multivariate Models
- Maximum Likelihood Estimation of Misspecified Models
