High dimensional dynamic stochastic copula models
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Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Credit risk (91G40)
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Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A survey of sequential Monte Carlo methods for economics and finance
- A survey on time-varying copulas: specification, simulations, and application
- Bayesian Gaussian Copula Factor Models for Mixed Data
- Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models
- Copula–Based Models for Financial Time Series
- Efficient Bayesian inference for Gaussian copula regression models
- Factor copula models for multivariate data
- Inference in hidden Markov models.
- Markov chain Monte Carlo methods for stochastic volatility models.
- Monte Carlo Smoothing for Nonlinear Time Series
- Regime switching for dynamic correlations
- Stochastic volatility with leverage: fast and efficient likelihood inference
- The pseudo-marginal approach for efficient Monte Carlo computations
- The t Copula and Related Copulas
- Time series analysis by state space methods.
Cited in
(28)- Estimation and inference in factor copula models with exogenous covariates
- Copula shrinkage and portfolio allocation in ultra-high dimensions
- Fast estimation of a large TVP-VAR model with score-driven volatilities
- Dynamic CVaR portfolio construction with attention-powered generative factor learning
- Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
- Modeling Dependence in High Dimensions With Factor Copulas
- Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
- Variational inference for high dimensional structured factor copulas
- Convex non-parametric least squares, causal structures and productivity
- Testing for structural breaks in factor copula models
- On a model of environmental performance and technology gaps
- The Performance of Gaussian and non Gaussian dynamic models in assessing market risk: The Implications for risk management
- STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY
- Fast inference methods for high-dimensional factor copulas
- Estimation of spatio-temporal extreme distribution using a quantile factor model
- Frontiers in time series and financial econometrics: an overview
- Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
- Copula based multivariate semi-Markov models with applications in high-frequency finance
- Portfolio selection based on semivariance and distance correlation under minimum variance framework
- Real-Time Macroeconomic Forecasting With a Heteroscedastic Inversion Copula
- Characterizing correlation matrices that admit a clustered factor representation
- Portfolio optimization for inventory financing: copula-based approaches
- Dynamic factor copula models with estimated cluster assignments
- High dimensional Gaussian copula graphical model with FDR control
- A Bayesian semiparametric approach to stochastic frontiers and productivity
- Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
- Management and takeover decisions
- High-dimensional copula-based distributions with mixed frequency data
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