Efficient estimation of copula-GARCH models

DOI10.1016/J.CSDA.2008.01.018MaRDI QIDQ961423zbMATH OpenOpenAlexFDO

Authors Yan Liu, Richard Luger

Publication date 30 March 2010

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2008.01.018

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• Analytical derivates of the APARCH model
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 3942888 (Why is no real title available?)
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• Maximization by Parts in Likelihood Inference
• Multivariate Dispersion Models Generated From Gaussian Copula
• Numerical methods of statistics
• Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
• Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
• The zero-information-limit condition and spurious inference in weakly identified models

Cited in

(19)

• Optimal dynamic hedging via copula-threshold-GARCH models
• Linear time-varying regression with copula-DCC-GARCH models for volatility
• Efficient two-step estimation via targeting
• On multivariate asymmetric dependence using multivariate skew-normal copula-based regression
• Vine copulas with asymmetric tail dependence and applications to financial return data
• Conditional copula simulation for systemic risk stress testing
• Flexible bivariate Poisson integer-valued GARCH model
• Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo
• Truncation of vine copulas using fit indices
• Joint forecasts of Dow Jones stocks under general multivariate loss function
• Time-varying joint distribution through copulas
• Efficient estimation of a semiparametric dynamic copula model
• A mixed copula model for insurance claims and claim sizes
• Copula-based multivariate GARCH model with uncorrelated dependent errors
• The partial copula: properties and associated dependence measures
• Modeling dependence dynamics through copulas with regime switching
• Efficient Bayesian inference for stochastic time-varying copula models
• Copula hurdle GARCH models for multivariate non-negative time series
• Efficient maximum likelihood estimation of copula based meta \(t\)-distributions

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