Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function
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Publication:3625345
DOI10.1080/03610910802645321zbMath1290.62096OpenAlexW2028115777MaRDI QIDQ3625345
Pier Francesco Perri, Filippo Domma, Sabrina Giordano
Publication date: 12 May 2009
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610910802645321
Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05)
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Analysis of ordinal and continuous longitudinal responses using pair copula construction ⋮ Unnamed Item ⋮ Vine Copula Specifications for Stationary Multivariate Markov Chains ⋮ Model diagnostic procedures for copula-based Markov chain models for statistical process control ⋮ Time series models with infinite-order partial copula dependence ⋮ A copula-based Markov chain model for serially dependent event times with a dependent terminal event ⋮ Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
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