A review of copula models for economic time series

DOI10.1016/j.jmva.2012.02.021zbMath1244.62085OpenAlexW1964166103MaRDI QIDQ443763

Publication date: 13 August 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2012.02.021

zbMATH Keywords

correlation time series semiparametric estimation inference multivariate models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Economic time series analysis (91B84)

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