LOCAL ESTIMATION OF DYNAMIC COPULA MODELS

DOI10.1142/S0219024910005759zbMath1203.91315MaRDI QIDQ3564992

Eduardo Fraga L. de Melo, Beatriz Vaz de Melo Mendes

Publication date: 27 May 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

copulasvalue-at-riskGARCH modelslocal maximum likelihood estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (1)

Dynamic bivariate normal copula

Uses Software

• sm

Cites Work

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• Weak convergence of empirical copula processes
• Generalized autoregressive conditional heteroscedasticity
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• Bivariate option pricing using dynamic copula models
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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• Local Likelihood Smoothing of Sample Extremes
• Semiparametric estimation in copula models
• Local dependence estimation using semiparametric archimedean copulas

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