Copula-based vector autoregressive modeling for volatility index data

DOI10.1007/S42519-025-00524-5MaRDI QIDQ6879686zbMATH OpenFDO

Authors Jenny K. Chen, Najmeh Nakhaei Rad, S. Yaser Samadi

Publication date 29 December 2025

Published in Journal of Statistical Theory and Practice (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimationmultivariate time seriesvector autoregressive modelcopula and mixture-copulavolatility index data

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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