Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models (Q2658800): Difference between revisions

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Latest revision as of 20:07, 24 July 2024

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Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
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    Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models (English)
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    24 March 2021
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    semi-nonparametric dynamic models
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    residual copulas
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    semi-nonparametric multi-step
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    residual sieve maximum likelihood
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    semiparametric efficiency
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