Efficient estimation of copula-based semiparametric Markov models (Q1043729)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient estimation of copula-based semiparametric Markov models |
scientific article |
Statements
Efficient estimation of copula-based semiparametric Markov models (English)
0 references
9 December 2009
0 references
copula
0 references
geometric ergodicity
0 references
nonlinear Markov models
0 references
semiparametric efficiency
0 references
sieve likelihood ratio statistics
0 references
sieve MLE
0 references
tail dependence
0 references
value-at-risk
0 references
