Copula-based multivariate GARCH model with uncorrelated dependent errors
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Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 3938216 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 854558 (Why is no real title available?)
- A Reality Check for Data Snooping
- A multivariate extension of Hoeffding's lemma
- An introduction to copulas. Properties and applications
- Asymptotic Inference about Predictive Ability
- Common risk factors in the returns on stocks and bonds
- Dependence structures for multivariate high-frequency data in finance
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Forecasting the term structure of government bond yields
- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- On Information and Sufficiency
- Some Concepts of Dependence
- Tests of Conditional Predictive Ability
Cited in
(31)- A dynamic double asymmetric copula generalized autoregressive conditional heteroskedasticity model: application to China's and US stock market
- Fitting high-dimensional copulae to data
- Transformation-Kernel Estimation of Copula Densities
- The shifting dependence dynamics between the G7 stock markets
- A unified approach to validating univariate and multivariate conditional distribution models in time series
- Mutual volatility transmission between assets and trading places
- Statistical inference for multivariate residual copula of GARCH models
- Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management
- A novel copula-based approach for parametric estimation of univariate time series through its covariance decay
- Risk forecasting in (T)GARCH models with uncorrelated dependent innovations
- A copula regression model for estimating firm efficiency in the insurance industry
- Copula representation of bivariate \(L\)-moments: a new estimation method for multiparameter two-dimensional copula models
- Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo
- On the structure and estimation of hierarchical Archimedean copulas
- Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
- Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
- Testing for nonlinearity in conditional covariances
- Long-tail longitudinal modeling of insurance company expenses
- Portfolio optimization of stock returns in high-dimensions: a copula-based approach
- Three non-Gaussian models of dependence in returns
- Structured factor copula models: theory, inference and computation
- scientific article; zbMATH DE number 7688003 (Why is no real title available?)
- High-dimensional copula-based distributions with mixed frequency data
- Selection of mixed copula model via penalized likelihood
- Copula-MGARCH with continuous covariance decomposition
- Analysis of dynamic correlation of Japanese stock returns with network clustering
- Linear time-varying regression with copula-DCC-GARCH models for volatility
- New HSIC-based tests for independence between two stationary multivariate time series
- Multivariate longitudinal modeling of insurance company expenses
- A review of copula models for economic time series
- Asymmetry in tail dependence in equity portfolios
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