Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification

DOI10.1016/j.jeconom.2005.07.027zbMath1418.62425OpenAlexW2042645953MaRDI QIDQ291847

Publication date: 10 June 2016

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

Full work available at URL: http://hdl.handle.net/1803/15763

zbMATH Keywords

semiparametric inference misspecified copulas mixture copulas multiple model selection multivariate dynamic models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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