Estimation and inference in factor copula models with exogenous covariates

DOI10.1016/j.jeconom.2023.01.003arXiv2107.03366OpenAlexW3182528521MaRDI QIDQ6108312

No author found.

Publication date: 29 June 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.03366

zbMATH Keywords

empirical processfactor analysisdependence modelingsimulation estimator

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• A semiparametric GARCH model for foreign exchange volatility
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Empirical and sequential empirical copula processes under serial dependence
• Factor copula models for multivariate data
• Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
• Extreme value copula estimation based on block maxima of a multivariate stationary time series
• Weak convergence of the empirical copula process with respect to weighted metrics
• Mixing properties of ARCH and time-varying ARCH processes
• High dimensional dynamic stochastic copula models
• Bootstrapping general empirical measures
• Invariance principles for absolutely regular empirical processes
• An MCMC approach to classical estimation.
• Testing for structural breaks in factor copula models
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Weak convergence of empirical copula processes
• Weak convergence and empirical processes. With applications to statistics
• Rank-based inference tools for copula regression, with property and casualty insurance applications
• Functional central limit theorems for single-stage sampling designs
• Weak convergence of empirical copula processes indexed by functions
• A copula approach for dependence modeling in multivariate nonparametric time series
• Introduction to empirical processes and semiparametric inference
• BLP estimation using Laplace transformation and overlapping simulation draws
• A monitoring procedure for detecting structural breaks in factor copula models
• Non-parametric Estimation of the Residual Distribution
• SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL
• Moment Consistency of the Exchangeably Weighted Bootstrap for Semiparametric M-estimation
• Goodness-of-Fit Tests for Multiplicative Models with Dependent Data
• Simulation and the Asymptotics of Optimization Estimators
• Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test
• Autoregressive Conditional Density Estimation
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• An Introduction to Functional Central Limit Theorems for Dependent Stochastic Processes
• A Strong Law of Large Numbers for Scrambled Net Integration
• Bootstrap Standard Error Estimates and Inference
• Multidimensional Variation for Quasi-Monte Carlo
• Simulated Method of Moments Estimation for Copula-Based Multivariate Models
• Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
• Weighted Minimum Mean-Square Distance from Independence Estimation
• Semiparametric estimation in copula models
• Handbook of econometrics. Vol. 4

This page was built for publication: Estimation and inference in factor copula models with exogenous covariates