Directional dependence via Gaussian copula beta regression model with asymmetric GARCH marginals

DOI10.1080/03610918.2016.1248572MaRDI QIDQ3133036zbMATH OpenOpenAlexFDO

Authors

Publication date 12 February 2018

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2016.1248572

zbMATH Keywords

copuladirectional dependencebeta regression modelgeneralized autoregressive conditional heteroscedasticityasymmetric GARCH models

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(5)

• Copula directional dependence of discrete time series marginals
• Estimation under copula-based Markov normal mixture models for serially correlated data
• On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series
• Control charts of mean and variance using copula Markov SPC and conditional distribution by copula
• Analysis of directional dependence using asymmetric copula-based regression models

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