Copula-based dynamic models for multivariate time series
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Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites work
- A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing
- A review of copula models for economic time series
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
- Bivariate option pricing using dynamic copula models
- Comparison of specification tests for GARCH models
- Convergence Criteria for Multiparameter Stochastic Processes and Some Applications
- Copula-based semiparametric models for multivariate time series
- Copula–Based Models for Financial Time Series
- Diagnostic tests for innovations of ARMA models using empirical processes of residuals
- Empirical and sequential empirical copula processes under serial dependence
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Estimation of copula-based semiparametric time series models
- Frank's family of bivariate distributions
- Goodness-of-fit tests for copulas: A review and a power study
- scientific article; zbMATH DE number 2152218 (Why is no real title available?)
- Nonparametric bootstrap tests for independence of generalized errors
- Nonparametric change-point estimation
- Remarks on a Multivariate Transformation
- Time-dependent copulas
- Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
Cited in
(46)- Time series with infinite-order partial copula dependence
- Stationary vine copula models for multivariate time series
- changepointTests
- Semi-parametric copula-based models under non-stationarity
- Managing risk with a realized copula parameter
- Copulas and long memory
- Editorial for the special issue on dependence models
- Model assessment for time series dynamics using copula spectral densities: a graphical tool
- Change-point problems for multivariate time series using pseudo-observations
- Goodness-of-fit test of copula functions for semi-parametric univariate time series models
- Copula-based time series with filtered nonstationarity
- Forecasting time series with multivariate copulas
- A copula approach for dependence modeling in multivariate nonparametric time series
- Time-varying joint distribution through copulas
- Modeling dependence via copula of functionals of Fourier coefficients
- Modeling time-varying dependencies between positive-valued high-frequency time series
- Dynamic structured copula models
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Variational Bayes Estimation of Discrete-Margined Copula Models With Application to Time Series
- Hidden Markov structures for dynamic copulae
- Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series
- Dynamic Copula-Based Markov Time Series
- Change analysis of a dynamic copula for measuring dependence in multivariate financial data
- Local estimation of dynamic copula models
- Statistical inference for multivariate residual copula of GARCH models
- Copula–Based Models for Financial Time Series
- A review of copula models for economic time series
- Time-dependent copulas
- Copula-based semiparametric models for multivariate time series
- Invariance properties in the dynamic Gaussian copula model
- Semiparametric Dynamic Max-Copula Model for Multivariate Time Series
- A survey on time-varying copulas: specification, simulations, and application
- Copula directional dependence of discrete time series marginals
- Copula‐based semiparametric analysis for time series data with detection limits
- Time-varying copula models for financial time series
- R routines for performing estimation and statistical process control under copula-based time series models
- A copula-based model of speculative price dynamics in discrete time
- A random walk through Canadian contributions on empirical processes and their applications in probability and statistics
- Principal stratification for quantile causal effects under partial compliance
- Understanding relationships with the aggregate zonal imbalance using copulas
- Consistent Estimation of Multiple Breakpoints in Dependence Measures
- Maximum likelihood estimation of multivariate regime switching Student-t copula models
- A zero serial cross-correlation test before fitting heteroscedasticity
- Comonotonic-based time series clustering with constraints: a review and a conceptual framework
- A copula-based joint regression analysis including Granger causality
- High dimensional dynamic stochastic copula models
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