scientific article; zbMATH DE number 7246953

zbMath1463.62356MaRDI QIDQ5121462

Chakorn Praprom, Songsak Sriboonchitta

Publication date: 14 September 2020

Full work available at URL: http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/1335

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zbMATH Keywords

copulaMPIdependence structureimportsARMA-GARCHvolatility mappings

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Economic time series analysis (91B84) Statistical aspects of information-theoretic topics (62B10)

Cites Work

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• An introduction to copulas.
• Financial modeling under non-Gaussian distributions.
• Generalized autoregressive conditional heteroscedasticity
• Copula–Based Models for Financial Time Series
• On Bayesian Modeling of Fat Tails and Skewness
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence

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