Directional dependence via Gaussian copula beta regression model with asymmetric GARCH marginals

DOI10.1080/03610918.2016.1248572zbMath1462.62315OpenAlexW2538313831MaRDI QIDQ3133036

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Publication date: 12 February 2018

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2016.1248572

zbMATH Keywords

copuladirectional dependencebeta regression modelgeneralized autoregressive conditional heteroscedasticityasymmetric GARCH models

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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