Dynamic bivariate normal copula

DOI10.1007/s11425-015-5114-1zbMath1341.62158arXiv1505.03762MaRDI QIDQ295132

Liang Peng, Xin Liao, YanTing Zheng, Zuo Xiang Peng

Publication date: 17 June 2016

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.03762

zbMATH Keywords

estimation; normal copula; tail dependence/independence

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62H20: Measures of association (correlation, canonical correlation, etc.)

62G30: Order statistics; empirical distribution functions

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

Uses Software

• QRM