Hidden Markov structures for dynamic copulae
DOI10.1017/S0266466614000607zbMATH Open1441.62723OpenAlexW3124424029MaRDI QIDQ3453247FDOQ3453247
Authors: Ostap Okhrin, Weining Wang, Wolfgang K. Härdle 
Publication date: 20 November 2015
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466614000607
Recommendations
Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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Cited In (14)
- Data-driven dynamic treatment planning for chronic diseases
- Copula-based segmentation of cylindrical time series
- Copulae: an overview and recent developments
- Dynamic structured copula models
- Forecasting portfolio-value-at-risk with mixed factorial hidden Markov models
- Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
- Penalized estimation of hierarchical Archimedean copula
- Football tracking data: a copula-based hidden Markov model for classification of tactics in football
- Quantile hidden semi-Markov models for multivariate time series
- Copula Modeling of Serially Correlated Multivariate Data with Hidden Structures
- On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
- Expectile hidden Markov regression models for analyzing cryptocurrency returns
- A copula-based multivariate hidden Markov model for modelling momentum in football
- Maximum likelihood estimation of multivariate regime switching Student-\(t\) copula models
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