Double Dynamic Max-Copula Model with Application to Financial Time Series
From MaRDI portal
Cites work
- An introduction to copulas. Properties and applications
- Analysis of financial time series
- Copula-based inference for bivariate survival data with left truncation and dependent censoring
- Copula-based time series with filtered nonstationarity
- Decomposition of Variation of Mixed Variables by a Latent Mixed Gaussian Copula Model
- Dependence modeling with copulas
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Extending the Archimedean copula methodology to model multivariate survival data grouped in clusters of variable size
- Goodness-of-fit tests for copulas: A review and a power study
- High dimensional dynamic stochastic copula models
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 1082208 (Why is no real title available?)
- Joint regression analysis for discrete longitudinal data
- Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns
- Modeling Dependence in High Dimensions With Factor Copulas
- Modeling longitudinal data using a pair-copula decomposition of serial dependence
- Modelling asymmetric exchange rate dependence
- Modified Gaussian pseudo-copula: applications in insurance and finance
- Nonparametric Copula Estimation for Mixed Insurance Claim Data
- Nonparametric fixed effects model for panel data with locally stationary regressors
- On weak conditional convergence of bivariate Archimedean and extreme value copulas, and consequences to nonparametric estimation
- Quantitative risk management. Concepts, techniques and tools
- Rank-based inference for bivariate extreme-value copulas
- Risk aggregation and capital allocation using a new generalized Archimedean copula
- Semiparametric Dynamic Max-Copula Model for Multivariate Time Series
- Simulated Method of Moments Estimation for Copula-Based Multivariate Models
- Stationary vine copula models for multivariate time series
- Testing for structural change in time-varying nonparametric regression models
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Time-Varying Mixture Copula Models with Copula Selection
- Time-varying nonlinear regression models: nonparametric estimation and model selection
- Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
- Vines -- a new graphical model for dependent random variables.
This page was built for publication: Double Dynamic Max-Copula Model with Application to Financial Time Series
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7322020)