Dynamic structured copula models

DOI10.1524/STRM.2013.2004zbMATH Open1279.62185OpenAlexW1532146614MaRDI QIDQ2871288

Ostap Okhrin, Yarema Okhrin, Wolfgang K. Härdle

Publication date: 22 January 2014

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://opus.bibliothek.uni-augsburg.de/opus4/files/47383/%5BStatistics%20%20Risk%20Modeling%5D%20Dynamic%20structured%20copula%20models.pdf

zbMATH Keywords

adaptive estimationmultivariate distributionsArchimedean copulas

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (5)

INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA ⋮ Managing risk with a realized copula parameter ⋮ Penalized estimation of hierarchical Archimedean copula ⋮ Goodness-of-fit test for specification of semiparametric copula dependence models ⋮ Copulae: an overview and recent developments

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