Copulas and long memory

DOI10.1214/14-PS233MaRDI QIDQ1688925zbMATH OpenOpenAlexFDO

Authors Rustam Ibragimov, George Lentzas

Publication date 12 January 2018

Published in Probability Surveys (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ps/1513069215

zbMATH Keywords

autocorrelationscopulasGARCHlong memory processesmeasures of dependencepersistenceshort memory processesvolatility

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cited in

(9)

• Efficient estimation of copula-based semiparametric Markov models
• Stationary vine copula models for multivariate time series
• Goodness-of-fit test of copula functions for semi-parametric univariate time series models
• Copula-based time series with filtered nonstationarity
• Copulas, chaotic processes and time series: a survey
• Study the long memory effects in tail dependence based on copula models
• Copulas between wealth and lifetime
• A copula-based model of speculative price dynamics in discrete time
• A novel copula-based approach for parametric estimation of univariate time series through its covariance decay

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