scientific article; zbMATH DE number 7246961

zbMath1463.62346MaRDI QIDQ5121473

Songsak Sriboonchitta, Phattanan Boonyanuphong

Publication date: 14 September 2020

Full work available at URL: http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/1343

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

vine copulavolatility transmissionagricultural commodity prices

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)

Cites Work

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• Pair-copula constructions of multiple dependence
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• An introduction to copulas.
• Elliptical copulas: Applicability and limitations.
• Vines -- a new graphical model for dependent random variables.
• Conditional Heteroskedasticity in Asset Returns: A New Approach

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