Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models (Q4620154)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models |
scientific article; zbMATH DE number 7015454
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models |
scientific article; zbMATH DE number 7015454 |
Statements
Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models (English)
0 references
8 February 2019
0 references
stock return dependence
0 references
time-varying copula
0 references
D-vines
0 references
efficient importance sampling
0 references
sequential estimation
0 references
generalized autoregressive score
0 references
time series
0 references
