Time-dependent copulas
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Publication:443766
DOI10.1016/J.JMVA.2012.02.018zbMath1352.62073OpenAlexW2058763692MaRDI QIDQ443766
Marten H. Wegkamp, Jean-David Fermanian
Publication date: 13 August 2012
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2012.02.018
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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On the control of the difference between two Brownian motions: a dynamic copula approach ⋮ Time-varying extreme value dependence with application to leading European stock markets ⋮ The partial copula: properties and associated dependence measures ⋮ Bivariate copula additive models for location, scale and shape ⋮ On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior ⋮ Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims ⋮ About tests of the ``simplifying assumption for conditional copulas ⋮ Copula modeling from Abe Sklar to the present day ⋮ Estimating non-simplified vine copulas using penalized splines ⋮ A review of copula models for economic time series ⋮ Copula-based semiparametric models for multivariate time series ⋮ Modified Gaussian pseudo-copula: applications in insurance and finance ⋮ A classification point-of-view about conditional Kendall's tau ⋮ Single-index copulas ⋮ Testing for equality between conditional copulas given discretized conditioning events ⋮ Copula-based dynamic models for multivariate time series ⋮ Asymptotic total variation tests for copulas ⋮ Generalized additive models for conditional dependence structures ⋮ A modified pseudo-copula regression model for risk groups with various dependency levels ⋮ Distortion representations of multivariate distributions ⋮ Conditional empirical copula processes and generalized measures of association
Uses Software
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