Semi-Parametric Modelling of Correlation Dynamics
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Publication:3571962
DOI10.1016/S0731-9053(05)20003-8zbMath1190.91155MaRDI QIDQ3571962
Christian M. Hafner, Philip Hans Franses, Dick van Dijk
Publication date: 30 June 2010
Published in: Advances in Econometrics (Search for Journal in Brave)
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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