Estimation of copula-based semiparametric time series models

DOI10.1016/j.jeconom.2005.03.004zbMath1337.62201OpenAlexW2078237481MaRDI QIDQ274894

Publication date: 25 April 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.03.004

zbMATH Keywords

copula conditional quantile semiparametric estimation conditional moment nonlinear Markov models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

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