Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models

DOI10.1016/j.jeconom.2020.07.012zbMath1471.62458OpenAlexW2997009215MaRDI QIDQ2658800

Yanping Yi, Xiaohong Chen, Zhuo Huang

Publication date: 24 March 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d22/d2215.pdf

zbMATH Keywords

semiparametric efficiencyresidual copulasresidual sieve maximum likelihoodsemi-nonparametric dynamic modelssemi-nonparametric multi-step

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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