Efficient estimation of copula-GARCH models

DOI10.1016/j.csda.2008.01.018zbMath1453.62140OpenAlexW2010610393MaRDI QIDQ961423

Richard Luger, Yan Liu

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.01.018

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (15)

The partial copula: properties and associated dependence measures ⋮ Efficient two-step estimation via targeting ⋮ Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo ⋮ Vine copulas with asymmetric tail dependence and applications to financial return data ⋮ On multivariate asymmetric dependence using multivariate skew-normal copula-based regression ⋮ Modeling dependence dynamics through copulas with regime switching ⋮ Efficient maximum likelihood estimation of copula based meta \(t\)-distributions ⋮ Efficient Bayesian inference for stochastic time-varying copula models ⋮ Joint forecasts of Dow Jones stocks under general multivariate loss function ⋮ Time-varying joint distribution through copulas ⋮ Efficient estimation of a semiparametric dynamic copula model ⋮ Conditional copula simulation for systemic risk stress testing ⋮ Flexible bivariate Poisson integer-valued GARCH model ⋮ A mixed copula model for insurance claims and claim sizes ⋮ Truncation of vine copulas using fit indices

Cites Work

• The zero-information-limit condition and spurious inference in weakly identified models
• Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
• Analytical derivates of the APARCH model
• Generalized autoregressive conditional heteroscedasticity
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• Multivariate Dispersion Models Generated From Gaussian Copula
• Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
• Maximization by Parts in Likelihood Inference
• Numerical Methods of Statistics
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