Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Regularized estimation in sparse high-dimensional time series models
Estimation of copula-based semiparametric time series models
Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
Copula-based multivariate GARCH model with uncorrelated dependent errors
Robust inference of risks of large portfolios
A review of copula models for economic time series
Copula-based semiparametric models for multivariate time series
A general central limit theorem for strong mixing sequences
Oracle inequalities for high dimensional vector autoregressions
Estimation of (near) low-rank matrices with noise and high-dimensional scaling
Regularized rank-based estimation of high-dimensional nonparanormal graphical models
Central limit theorem and the bootstrap for \(U\)-statistics of strongly mixing data
Efficient estimation of copula-based semiparametric Markov models
Mixing: Properties and examples
Resampling methods for dependent data
SCOMDY models based on pair-copula constructions with application to exchange rates
A unified theory of confidence regions and testing for high-dimensional estimating equations
On weighted \(U\)-statistics for stationary processes.
High-dimensional semiparametric Gaussian copula graphical models
Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors
On Strong Mixing Conditions for Stationary Gaussian Processes
Copula-based nonlinear quantile autoregression
Limiting behavior of U-statistics for stationary, absolutely regular processes
THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
Copulas and Temporal Dependence
Whittle Likelihood Estimation of Nonlinear Autoregressive Models With Moving Average Residuals
TESTING FOR CHANGES IN KENDALL’S TAU

This page was built for publication: Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model