Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
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Publication:291847
DOI10.1016/J.JECONOM.2005.07.027zbMATH Open1418.62425OpenAlexW2042645953MaRDI QIDQ291847FDOQ291847
Authors: Yanqin Fan, Xiaohong Chen 
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
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semiparametric inferencemisspecified copulasmixture copulasmultiple model selectionmultivariate dynamic models
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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Cited In (only showing first 100 items - show all)
- Estimation of Copulas via Maximum Mean Discrepancy
- World commodity prices and economic activity in advanced and emerging economies
- Statistical inference for multivariate residual copula of GARCH models
- Estimation and model selection of semiparametric multivariate survival functions under general censorship
- Variational inference for high dimensional structured factor copulas
- Empirical likelihood based confidence intervals for copulas
- Distorted mix method for constructing copulas with tail dependence
- Copula density estimation by finite mixture of parametric copula densities
- A goodness-of-fit test for copulas
- Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
- Estimation and inference for dependence in multivariate data
- Sequential conditional correlations: inference and evaluation
- Goodness-of-fit test for tail copulas modeled by elliptical copulas
- Copula-based tests for cross-sectional independence in panel models
- A goodness-of-fit test for copulas based on martingale transformation
- Estimating the error distribution in multivariate heteroscedastic time-series models
- Jackknife empirical likelihood method for copulas
- Truncated regular vines in high dimensions with application to financial data
- Time-varying copula models for financial time series
- Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
- Bayesian model selection for D-vine pair-copula constructions
- Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
- Copula-based multivariate GARCH model with uncorrelated dependent errors
- Randomization tests of copula symmetry
- Generalized runs tests for the IID hypothesis
- Clustering of financial time series in risky scenarios
- Semi- and nonparametric ARCH processes
- Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
- Change point detection in SCOMDY models
- On testing for independence between the innovations of several time series
- Managing risk with a realized copula parameter
- Pair-copula constructions of multiple dependence
- Goodness-of-fit test for specification of semiparametric copula dependence models
- Partial identification and inference in censored quantile regression
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- A model selection test for bivariate failure-time data
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- Efficient maximum likelihood estimation of copula based meta \(t\)-distributions
- Semiparametric bivariate Archimedean copulas
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- A review of copula models for economic time series
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- Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
- Copula-based semiparametric models for multivariate time series
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- A new class of copulas involved geometric distribution: estimation and applications
- A survey on time-varying copulas: specification, simulations, and application
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- Is a Normal Copula the Right Copula?
- Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
- Portfolio selection with commodities under conditional copulas and skew preferences
- Fitting high-dimensional copulae to data
- Sparse M-estimators in semi-parametric copula models
- Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
- Modeling maxima with autoregressive conditional Fréchet model
- Generalized predictive information criteria for the analysis of feature events
- A diagnostic test for specification of copulas under censorship
- Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
- Copula-based time series with filtered nonstationarity
- Rank-based inference tools for copula regression, with property and casualty insurance applications
- Generalized information matrix tests for copulas
- Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models
- Parametric copula adjusted for non- and semiparametric regression
- A copula approach for dependence modeling in multivariate nonparametric time series
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- The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments
- Consistent Estimation of Multiple Breakpoints in Dependence Measures
- Robust approach for blind separation of noisy mixtures of independent and dependent sources
- HMM and HAC
- Modeling Multivariate Time Series With Copula-Linked Univariate D-Vines
- Estimation of Conditional Ranks and Tests of Exogeneity in Nonparametric Nonseparable Models
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