HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE

DOI10.1017/S0266466614000607zbMath1441.62723OpenAlexW3124424029MaRDI QIDQ3453247

Ostap Okhrin, Weining Wang, Wolfgang Karl Härdle

Publication date: 20 November 2015

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466614000607

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (6)

On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices ⋮ A copula-based multivariate hidden Markov model for modelling momentum in football ⋮ Football tracking data: a copula-based hidden Markov model for classification of tactics in football ⋮ Penalized estimation of hierarchical Archimedean copula ⋮ Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns ⋮ Data-driven dynamic treatment planning for chronic diseases

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• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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