Time-varying joint distribution through copulas (Q2445695): Difference between revisions

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-Hedibert Freitas Lopes
@@ Property / author: Hedibert Freitas Lopes / rank @@
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+Hedibert Freitas Lopes
@@ Property / author: Hedibert Freitas Lopes / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.csda.2009.03.008
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@@ Property / OpenAlex ID @@
+W2015057937
@@ Property / OpenAlex ID: W2015057937 / rank @@
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@@ Property / cites work @@
+Contagion determination via copula and volatility threshold models
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+Bayesian estimation of the Gaussian mixture GARCH model
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+Bayesian inference on GARCH models using the Gibbs sampler
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+Extreme Value Theory as a Risk Management Tool
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study
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+Bayesian copula selection
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+Q4543480
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+Efficient estimation of copula-GARCH models
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+An introduction to copulas.
@@ Property / cites work: An introduction to copulas. / rank @@
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+Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
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+Q3336431
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+Markov chains for exploring posterior distributions. (With discussion)
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