Efficient estimation of copula-GARCH models

DOI10.1016/j.csda.2008.01.018zbMath1453.62140OpenAlexW2010610393MaRDI QIDQ961423

Richard Luger, Yan Liu

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.01.018

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

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• Multivariate Dispersion Models Generated From Gaussian Copula
• Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
• Maximization by Parts in Likelihood Inference
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