Efficient estimation of a semiparametric dynamic copula model

DOI10.1016/j.csda.2010.01.013zbMath1284.91472OpenAlexW2021777537MaRDI QIDQ2445713

Olga Reznikova, Christian M. Hafner

Publication date: 14 April 2014

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.01.013

zbMATH Keywords

efficiencysemiparametric estimationlocal likelihooddynamic copula

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Economic time series analysis (91B84)

Related Items (17)

Time-Varying Mixture Copula Models with Copula Selection ⋮ Smooth nonparametric Bernstein vine copulas ⋮ A new time-varying optimal copula model identifying the dependence across markets ⋮ A Survey on Time-Varying Copulas: Specification, Simulations, and Application ⋮ Portfolio optimization for inventory financing: copula-based approaches ⋮ Vine copulas with asymmetric tail dependence and applications to financial return data ⋮ Dynamic D-vine copula model with applications to Value-at-Risk (VaR) ⋮ Conditional copulas, association measures and their applications ⋮ Semiparametric bivariate Archimedean copulas ⋮ Non-parametric estimation of copula parameters: testing for time-varying correlation ⋮ Multivariate and functional covariates and conditional copulas ⋮ Semiparametric estimation of conditional copulas ⋮ Testing for structural breaks in factor copula models ⋮ Tails of correlation mixtures of elliptical copulas ⋮ On the distribution of sums of random variables with copula-induced dependence ⋮ Extreme dependence in investor attention and stock returns – consequences for forecasting stock returns and measuring systemic risk ⋮ An economic evaluation of stock–bond return comovements with copula-based GARCH models

Uses Software

• CAViaR
• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Efficient estimation of copula-GARCH models
• A goodness of fit test for copulas based on Rosenblatt's transformation
• An introduction to copulas. Properties and applications
• Adaptive estimation in time-series models
• On the Kullback-Leibler information divergence of locally stationary processes
• Semi-Parametric Modelling of Correlation Dynamics
• Local Maximum Likelihood Estimation and Inference
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• Maximization by Parts in Likelihood Inference

This page was built for publication: Efficient estimation of a semiparametric dynamic copula model