Dynamic Copula-Based Markov Time Series

DOI10.1080/03610920801931846zbMath1143.62048OpenAlexW1976676576MaRDI QIDQ3526093

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Publication date: 24 September 2008

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920801931846

zbMATH Keywords

copulascore testKendall's tautime-varying parameterdynamic copula

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Markov processes: hypothesis testing (62M02)

Related Items (3)

ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE ⋮ Vine Copula Specifications for Stationary Multivariate Markov Chains ⋮ Model diagnostic procedures for copula-based Markov chain models for statistical process control

Cites Work

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• On the Markov chain central limit theorem
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• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Bivariate option pricing using dynamic copula models
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Testing for the Constancy of Parameters Over Time
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• Testing homogeneity over time of a parameter of a markov sequence
• Stochastic Limit Theory
• Linear Statistical Inference and its Applications

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