Multivariate Markov families of copulas (Q906347): Difference between revisions

@@ Property / author @@
-Ludger Overbeck
@@ Property / author: Ludger Overbeck / rank @@
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+Ludger Overbeck
@@ Property / author: Ludger Overbeck / rank @@
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@@ Property / describes a project that uses @@
+QRM
@@ Property / describes a project that uses: QRM / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1515/demo-2015-0011
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@@ Property / OpenAlex ID @@
+W3125294276
@@ Property / OpenAlex ID: W3125294276 / rank @@
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@@ Property / cites work @@
+Modeling statistical dependence of Markov chains via copula models
+Normal rank
@@ Property / cites work @@
+Copulas and Temporal Dependence
@@ Property / cites work: Copulas and Temporal Dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Vine Copula Specifications for Stationary Multivariate Markov Chains
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@@ Property / cites work @@
+VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
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@@ Property / cites work @@
+Study of Dependence for Some Stochastic Processes
@@ Property / cites work: Study of Dependence for Some Stochastic Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Truncated regular vines in high dimensions with application to financial data
+Normal rank
@@ Property / cites work @@
+Estimation of copula-based semiparametric time series models
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@@ Property / cites work @@
+Efficient estimation of copula-based semiparametric Markov models
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@@ Property / cites work @@
+A copula-based model of speculative price dynamics in discrete time
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@@ Property / cites work @@
+Copulas and Markov processes
@@ Property / cites work: Copulas and Markov processes / rank @@
+Normal rank
@@ Property / cites work @@
+Parameter estimation for pair-copula constructions
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@@ Property / cites work @@
+COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES
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@@ Property / cites work @@
+Q4382161
@@ Property / cites work: Q4382161 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5706744
@@ Property / cites work: Q5706744 / rank @@
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@@ Property / cites work @@
+An introduction to copulas. Properties and applications
+Normal rank
@@ Property / cites work @@
+Copula-based semiparametric models for multivariate time series
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@@ Property / cites work @@
+Forecasting time series with multivariate copulas
@@ Property / cites work: Forecasting time series with multivariate copulas / rank @@
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@@ Property / cites work @@
+Regime switches in the dependence structure of multidimensional financial data
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@@ Property / cites work @@
+Statistical properties of parametric estimators for Markov chain vectors based on copula models
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