Maximum likelihood estimation of skew-t copulas with its applications to stock returns

DOI10.1080/00949655.2018.1469631OpenAlexW2804760238MaRDI QIDQ4960698

Toshinao Yoshiba

Publication date: 23 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2018.1469631

zbMATH Keywords

copulamaximum likelihood estimationtail dependenceskew-\(t\) distributiontail asymmetrygeneralized hyperbolic distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Measures of association (correlation, canonical correlation, etc.) (62H20) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (10)

Copula diagnostics for asymmetries and conditional dependence ⋮ High-Dimensional Copula Variational Approximation Through Transformation ⋮ Copula density estimation by finite mixture of parametric copula densities ⋮ Tail densities of skew-elliptical distributions ⋮ Implicit Copula Variational Inference ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Conditional normal extreme-value copulas ⋮ Copula shrinkage and portfolio allocation in ultra-high dimensions ⋮ Copula-based measures of asymmetry between the lower and upper tail probabilities

Uses Software

• sn
• ghyp
• QRM
• numDeriv
• Rugarch
• CopulaModel

Cites Work

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• Generating random correlation matrices based on vines and extended onion method
• Recurrence relations for distributions of a skew-\(t\) and a linear combination of order statistics from a bivariate-\(t\)
• Tail dependence for two skew \(t\) distributions
• Vine copulas with asymmetric tail dependence and applications to financial return data
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• The Skew-Normal and Related Families
• Thetcopula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management
• Dependence Modeling with Copulas
• The t Copula and Related Copulas
• A new class of multivariate skew distributions with applications to bayesian regression models
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Multivariate T-Distributions and Their Applications
• A general class of multivariate skew-elliptical distributions

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