Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models (Q4620154): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q366795 |
||
| Property / author | |||
| Property / author: Q170249 / rank | |||
Revision as of 08:43, 14 February 2024
scientific article; zbMATH DE number 7015454
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models |
scientific article; zbMATH DE number 7015454 |
Statements
Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models (English)
0 references
8 February 2019
0 references
stock return dependence
0 references
time-varying copula
0 references
D-vines
0 references
efficient importance sampling
0 references
sequential estimation
0 references
generalized autoregressive score
0 references
time series
0 references
