Dynamic structured copula models

DOI10.1524/STRM.2013.2004MaRDI QIDQ2871288zbMATH OpenOpenAlexFDO

Authors Ostap Okhrin, Yarema Okhrin, Wolfgang K. Härdle

Publication date 22 January 2014

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL https://opus.bibliothek.uni-augsburg.de/opus4/files/47383/%5BStatistics%20%20Risk%20Modeling%5D%20Dynamic%20structured%20copula%20models.pdf

zbMATH Keywords

Archimedean copulasmultivariate distributionsadaptive estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(16)

• A survey on time-varying copulas: specification, simulations, and application
• Change analysis of a dynamic copula for measuring dependence in multivariate financial data
• Semi-parametric time series modelling with autocopulas
• High dimensional dynamic stochastic copula models
• Time-varying copula models for financial time series
• Copulae: an overview and recent developments
• Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series
• Time-varying joint distribution through copulas
• Goodness-of-fit test for specification of semiparametric copula dependence models
• Managing risk with a realized copula parameter
• Multi-market direction-of-change modeling using dependence ratios
• Local estimation of dynamic copula models
• Penalized estimation of hierarchical Archimedean copula
• Copula-based dynamic models for multivariate time series
• INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA
• Hidden Markov structures for dynamic copulae

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