Hidden Markov structures for dynamic copulae

DOI10.1017/S0266466614000607MaRDI QIDQ3453247zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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• Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Finite mixture models
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• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Inference in hidden Markov models.
• Maximum-likelihood estimation for hidden Markov models
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• On some global measures of the deviations of density function estimates
• On the structure and estimation of hierarchical Archimedean copulas
• Regime switching for dynamic correlations
• Simultaneous nonparametric inference of time series
• SPRT and CUSUM in hidden Markov models

Cited in

(15)

• Copula-based segmentation of cylindrical time series
• Data-driven dynamic treatment planning for chronic diseases
• Quantile hidden semi-Markov models for multivariate time series
• Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
• Dynamic structured copula models
• Forecasting portfolio-value-at-risk with mixed factorial hidden Markov models
• On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
• A copula-based multivariate hidden Markov model for modelling momentum in football
• Football tracking data: a copula-based hidden Markov model for classification of tactics in football
• Penalized estimation of hierarchical Archimedean copula
• Expectile hidden Markov regression models for analyzing cryptocurrency returns
• Copulae: an overview and recent developments
• Copula Modeling of Serially Correlated Multivariate Data with Hidden Structures
• Maximum likelihood estimation of multivariate regime switching Student-t copula models
• A copula formulation for multivariate latent Markov models

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