Maximum likelihood estimation of multivariate regime switching Student-\(t\) copula models

DOI10.1111/insr.12562MaRDI QIDQ6663973

Fulvia Pennoni, Francesco Bartolucci, Federico P. Cortese

Publication date: 15 January 2025

Published in: International Statistical Review (Search for Journal in Brave)

zbMATH Keywords

latent variable modelscryptocurrenciescopula modelsexpectation-maximisation algorithmdaily log-returns

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Multivariate analysis (62Hxx) Nonparametric inference (62Gxx)

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