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

DOI10.1080/03610918.2016.1248572zbMATH Open1462.62315OpenAlexW2538313831MaRDI QIDQ3133036FDOQ3133036

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

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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)

Cited In (5)

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

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