Copula-based dynamic models for multivariate time series
DOI10.1016/J.JMVA.2019.03.002zbMATH Open1420.62391OpenAlexW2921269102WikidataQ128276347 ScholiaQ128276347MaRDI QIDQ123371FDOQ123371
Authors: Bouchra R. Nasri, Bruno N. Rémillard, Bouchra R. Nasri, Bruno Rémillard 
Publication date: July 2019
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2019.03.002
Recommendations
Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (24)
- Change analysis of a dynamic copula for measuring dependence in multivariate financial data
- Dynamic Copula-Based Markov Time Series
- Statistical inference for multivariate residual copula of GARCH models
- changepointTests
- A copula-based model of speculative price dynamics in discrete time
- Principal stratification for quantile causal effects under partial compliance
- Editorial for the special issue on dependence models
- Understanding relationships with the aggregate zonal imbalance using copulas
- Copula‐based semiparametric analysis for time series data with detection limits
- Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series
- A random walk through Canadian contributions on empirical processes and their applications in probability and statistics
- Consistent Estimation of Multiple Breakpoints in Dependence Measures
- Copula–Based Models for Financial Time Series
- Model assessment for time series dynamics using copula spectral densities: a graphical tool
- Semi-parametric copula-based models under non-stationarity
- R routines for performing estimation and statistical process control under copula-based time series models
- Local estimation of dynamic copula models
- Stationary vine copula models for multivariate time series
- A review of copula models for economic time series
- Maximum likelihood estimation of multivariate regime switching Student-\(t\) copula models
- Copula-based semiparametric models for multivariate time series
- Time-dependent copulas
- Change-point problems for multivariate time series using pseudo-observations
- Variational Bayes Estimation of Discrete-Margined Copula Models With Application to Time Series
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