Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models (Q2658800): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models |
scientific article |
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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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