Copula-based multivariate GARCH model with uncorrelated dependent errors

DOI10.1016/J.JECONOM.2008.12.008zbMATH Open1429.62683OpenAlexW2044498584MaRDI QIDQ302191FDOQ302191

Tae-Hwy Lee, Xiangdong Long

Publication date: 4 July 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.12.008

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zbMATH Keywords

copuladensity forecastMGARCHnon-normal multivariate distributionuncorrelated dependent errors

Mathematics Subject Classification ID

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)

Cites Work

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Cited In (30)

• Statistical inference for multivariate residual copula of GARCH models
• Selection of Mixed Copula Model via Penalized Likelihood
• Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management
• Multivariate longitudinal modeling of insurance company expenses
• Asymmetry in tail dependence in equity portfolios
• Title not available (Why is that?)
• Structured factor copula models: theory, inference and computation
• Title not available (Why is that?)
• Fitting High-Dimensional Copulae to Data
• Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
• Testing for nonlinearity in conditional covariances
• Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
• Analysis of dynamic correlation of Japanese stock returns with network clustering
• Mutual volatility transmission between assets and trading places
• Transformation-Kernel Estimation of Copula Densities
• A dynamic double asymmetric copula generalized autoregressive conditional heteroskedasticity model: application to China's and US stock market
• Linear time-varying regression with copula-DCC-GARCH models for volatility
• The shifting dependence dynamics between the G7 stock markets
• Risk forecasting in (T)GARCH models with uncorrelated dependent innovations
• A novel copula-based approach for parametric estimation of univariate time series through its covariance decay
• A unified approach to validating univariate and multivariate conditional distribution models in time series
• A review of copula models for economic time series
• Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo
• A copula regression model for estimating firm efficiency in the insurance industry
• Long-tail longitudinal modeling of insurance company expenses
• On the structure and estimation of hierarchical Archimedean copulas
• Copula representation of bivariateL-moments: a new estimation method for multiparameter two-dimensional copula models
• Title not available (Why is that?)
• High-dimensional copula-based distributions with mixed frequency data
• Copula-MGARCH with continuous covariance decomposition

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