Modeling dependence dynamics through copulas with regime switching

DOI10.1016/j.insmatheco.2012.01.001zbMath1237.91240OpenAlexW2008621908MaRDI QIDQ414597

Michael J. Dueker, Osvaldo Candido da Silva Filho, Flávio Augusto Ziegelmann

Publication date: 11 May 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.01.001

zbMATH Keywords

copulasMarkov switchingbootstrap testasymmetric dependence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Bootstrap, jackknife and other resampling methods (62F40)

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Cites Work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive Conditional Density Estimation
• Automatic Block-Length Selection for the Dependent Bootstrap
• An Optimum Property of Regular Maximum Likelihood Estimation
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• The impact of bootstrap methods on time series analysis

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