Detecting financial data dependence structure by averaging mixture copulas
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Characterization and structure theory for multivariate probability distributions; copulas (62H05) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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Cites work
- A model-averaging approach for high-dimensional regression
- A review of copula models for economic time series
- A semiparametric approach to dimension reduction
- A survey on time-varying copulas: specification, simulations, and application
- An introduction to copulas.
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Estimation of copula-based semiparametric time series models
- Forecasting with factor-augmented regression: a frequentist model averaging approach
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 1034037 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- Jackknife model averaging
- Least Squares Model Averaging
- Model averaging by jackknife criterion in models with dependent data
- Selection of mixed copula model via penalized likelihood
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
Cited in
(12)- Optimal model averaging estimator for expectile regressions
- Selection of mixed copula for association modeling with tied observations
- Computation and application of copula-based weighted average quantile regression
- Model averaging based on generalized method of moments
- Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function
- Time-Varying Mixture Copula Models with Copula Selection
- Simultaneously capturing multiple dependence features in bank risk integration: a mixture copula framework
- Functional martingale residual process for high-dimensional Cox regression with model averaging
- Multifold Cross-Validation Model Averaging for Generalized Additive Partial Linear Models
- Optimal model averaging based on leave-\(h\)-out forward-validation for threshold autoregressive models
- Predicting the multivariate zero-inflated counts: a novel model averaging method under Pearson loss
- Mitigating ambiguity in earthquake catastrophe insurance pricing: a model averaging and -maxmin approach
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