Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models (Q2658800)

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Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
scientific article

    Statements

    title
    Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models (English)
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    author
    Xiaohong Chen
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    Zhuo Huang
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    Yanping Yi
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    publication date
    24 March 2021
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    zbMATH Keywords
    semi-nonparametric dynamic models
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    residual copulas
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    semi-nonparametric multi-step
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    residual sieve maximum likelihood
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    semiparametric efficiency
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    cites work
    Q2770351
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    Nonlinear Time Series
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62G05
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    62G20
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    62H05
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    62H12
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    62P05
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    zbMATH DE Number
    7327205
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    OpenAlex ID
    W2997009215
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