Estimation of copula-based semiparametric time series models
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Cites work
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- scientific article; zbMATH DE number 50707 (Why is no real title available?)
- scientific article; zbMATH DE number 490141 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- A maximal inequality and dependent Marcinkiewicz-Zygmund strong laws
- A note on adjusting correlation matrices
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- An introduction to copulas. Properties and applications
- Common factors in conditional distributions for bivariate time series
- Copulas and Markov processes
- Duration time-series models with proportional hazard
- Entropy densities with an application to autoregressive conditional skewness and kurtosis.
- Exponential and uniform ergodicity of Markov processes
- Generalized Econometric Models with Selectivity
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Hypothesis Testing with Efficient Method of Moments Estimation
- Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
- Invariance principles for absolutely regular empirical processes
- NONPARAMETRIC ESTIMATORS FOR TIME SERIES
- Nonlinearity and temporal dependence
- Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
- Regression Quantiles
- Some Approaches to the Correction of Selectivity Bias
- Testing When a Parameter is on the Boundary of the Maintained Hypothesis
- The Asymptotic Variance of Semiparametric Estimators
- The identifiability of the competing risks model
- The t Copula and Related Copulas
- Understanding Relationships Using Copulas
- Using copulae to bound the value-at-risk for functions of dependent risks
- Weak convergence for weighted empirical processes of dependent sequences
Cited in
(only showing first 100 items - show all)- Semiparametric \(M\)-estimation with non-smooth criterion functions
- Copula-based dynamic models for multivariate time series
- Estimation and inference for dependence in multivariate data
- The copula echo state network
- Archimedean copulas and temporal dependence
- Parameter estimation for pair-copula constructions
- Forecasting time series with multivariate copulas
- SCOMDY models based on pair-copula constructions with application to exchange rates
- Copula density estimation by finite mixture of parametric copula densities
- Asymptotic properties of the Bernstein density copula estimator for \(\alpha \)-mixing data
- Efficient estimation of copula-based semiparametric Markov models
- Wavelet estimation of copulas for time series
- Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation
- Measuring the coupled risks: A copula-based CVaR model
- Semiparametric multivariate density estimation for positive data using copulas
- Autocopulas: investigating the interdependence structure of stationary time series
- Vine copula specifications for stationary multivariate Markov chains
- Statistical properties of parametric estimators for Markov chain vectors based on copula models
- Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
- An efficient nonparametric estimator for models with nonlinear dependence
- A model selection test for bivariate failure-time data
- Estimation and model selection of semiparametric multivariate survival functions under general censorship
- Multivariate Markov families of copulas
- Minimum Hellinger distance estimation for bivariate samples and time series with applications to nonlinear regression and copula-based models
- Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
- Likelihood-based estimation in a panel setting: robustness, redundancy and validity of copulas
- Time series with infinite-order partial copula dependence
- Copula-based tests for cross-sectional independence in panel models
- Dependence Calibration in Conditional Copulas: A Nonparametric Approach
- Copula-based nonlinear quantile autoregression
- Stationary vine copula models for multivariate time series
- Deriving the asymptotic distribution of \(U\)- and \(V\)-statistics of dependent data using weighted empirical processes
- Modeling statistical dependence of Markov chains via copula models
- Semi-parametric copula-based models under non-stationarity
- Efficient estimation of a semiparametric dynamic copula model
- Nonparametric estimation of copula functions for dependence modelling
- Time-dependent copulas
- Semi- and nonparametric ARCH processes
- Testing the simplifying assumption in high-dimensional vine copulas
- Copulas and temporal dependence
- Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
- Regularized rank-based estimation of high-dimensional nonparanormal graphical models
- Semiparametric time series models with log-concave innovations: maximum likelihood estimation and its consistency
- Continuous mapping approach to the asymptotics of \(U\)- and \(V\)-statistics
- R routines for performing estimation and statistical process control under copula-based time series models
- Sparse semiparametric discriminant analysis
- Pitfalls in market timing test
- An empirical central limit theorem with applications to copulas under weak dependence
- COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES
- Goodness-of-fit tests for copulas
- Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: a damping function approach
- A copula-based approximation to Markov chains
- Model assessment for time series dynamics using copula spectral densities: a graphical tool
- Asymptotics for statistical functionals of long-memory sequences
- A note on minimum distance estimation of copula densities
- Semiparametric estimation of the parameters of multivariate copulas
- Monitoring test for stability of copula parameter in time series
- A copula-based model of speculative price dynamics in discrete time
- Remarks on the speed of convergence of mixing coefficients and applications
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Copula-based semiparametric models for multivariate time series
- Dynamic Copula-Based Markov Time Series
- Some aspects of modeling dependence in copula-based Markov chains
- Statistics for tail processes of Markov chains
- Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function
- Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study
- Variational Bayes Estimation of Discrete-Margined Copula Models With Application to Time Series
- A goodness-of-fit test for copulas
- Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points
- A Bayesian inference for time series via copula-based Markov chain models
- A review of copula models for economic time series
- Nonlinear independent component analysis for discrete-time and continuous-time signals
- Modeling Multivariate Time Series With Copula-Linked Univariate D-Vines
- Skew-\(t\) copula-based semiparametric Markov chains
- Transformation-Kernel Estimation of Copula Densities
- Calibration estimation of semiparametric copula models with data missing at random
- The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments
- Statistical properties of semiparametric estimators for copula-based Markov chain vectors models
- Copula-based time series with filtered nonstationarity
- Generalized information matrix tests for copulas
- Copula-Based Functional Bayes Classification With Principal Components and Partial Least Squares
- Forecasting natural gas prices with spatio-temporal copula-based time series models
- Semiparametric score test for varying copula parameter in Markov time series
- Modeling and fitting of time series with heavy distribution tails and strong time dependence by Gaussian time series
- Fitting time series with heavy tails and strong time dependence
- Bivariate copula-based CUSUM charts for monitoring conditional nonlinear processes with first-order autocorrelation
- A novel copula-based approach for parametric estimation of univariate time series through its covariance decay
- A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach
- Semi-parametric time series modelling with autocopulas
- Non-parametric estimation of copula parameters: testing for time-varying correlation
- Coordinatewise Gaussianization: Theories and Applications
- Time irreversible copula-based Markov models
- Estimation under copula-based Markov normal mixture models for serially correlated data
- Model diagnostic procedures for copula-based Markov chain models for statistical process control
- Understanding relationships with the aggregate zonal imbalance using copulas
- GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS
- Copula modeling from Abe Sklar to the present day
- A semiparametric maximum likelihood ratio test for the change point in copula models
- Risk forecasting in (T)GARCH models with uncorrelated dependent innovations
- Information bounds for Gaussian copula parameter in stationary semiparametric Markov models
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