Time-varying joint distribution through copulas (Q2445695)

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Language	Label	Description	Also known as
English	Time-varying joint distribution through copulas	scientific article

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scholarly article

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Time-varying joint distribution through copulas (English)

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M. Concepcion Ausin

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Hedibert Freitas Lopes

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Computational Statistics and Data Analysis

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publication date

14 April 2014

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.csda.2009.03.008

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Contagion determination via copula and volatility threshold models

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Bayesian estimation of the Gaussian mixture GARCH model

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Bayesian inference on GARCH models using the Gibbs sampler

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Extreme Value Theory as a Risk Management Tool

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study

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Bayesian copula selection

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Efficient estimation of copula-GARCH models

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An introduction to copulas.

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Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market

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Markov chains for exploring posterior distributions. (With discussion)

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Identifiers

zbMATH Open document ID

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10.1016/j.csda.2009.03.008

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2445695

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