Copula-based multivariate GARCH model with uncorrelated dependent errors

DOI10.1016/J.JECONOM.2008.12.008zbMath1429.62683OpenAlexW2044498584MaRDI QIDQ302191

Tae-Hwy Lee, Xiangdong Long

Publication date: 4 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.12.008

zbMATH Keywords

copuladensity forecastMGARCHnon-normal multivariate distributionuncorrelated dependent errors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (26)

Analysis of dynamic correlation of Japanese stock returns with network clustering ⋮ Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas ⋮ The shifting dependence dynamics between the G7 stock markets ⋮ Risk forecasting in (T)GARCH models with uncorrelated dependent innovations ⋮ Asymmetry in tail dependence in equity portfolios ⋮ Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo ⋮ Unnamed Item ⋮ Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model ⋮ Testing for nonlinearity in conditional covariances ⋮ Mutual volatility transmission between assets and trading places ⋮ A review of copula models for economic time series ⋮ Unnamed Item ⋮ A copula regression model for estimating firm efficiency in the insurance industry ⋮ A dynamic double asymmetric copula generalized autoregressive conditional heteroskedasticity model: application to China's and US stock market ⋮ Multivariate longitudinal modeling of insurance company expenses ⋮ Long-tail longitudinal modeling of insurance company expenses ⋮ On the structure and estimation of hierarchical Archimedean copulas ⋮ Copula-MGARCH with continuous covariance decomposition ⋮ High-dimensional copula-based distributions with mixed frequency data ⋮ A unified approach to validating univariate and multivariate conditional distribution models in time series ⋮ Unnamed Item ⋮ Selection of Mixed Copula Model via Penalized Likelihood ⋮ Fitting High-Dimensional Copulae to Data ⋮ Copula representation of bivariateL-moments: a new estimation method for multiparameter two-dimensional copula models ⋮ Structured factor copula models: theory, inference and computation ⋮ Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Forecasting the term structure of government bond yields
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• A multivariate extension of Hoeffding's lemma
• An introduction to copulas. Properties and applications
• A Reality Check for Data Snooping
• Dependence structures for multivariate high-frequency data in finance
• Asymptotic Inference about Predictive Ability
• Tests of Conditional Predictive Ability
• Common risk factors in the returns on stocks and bonds
• Some Concepts of Dependence
• On Information and Sufficiency

This page was built for publication: Copula-based multivariate GARCH model with uncorrelated dependent errors