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

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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Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• An introduction to copulas.
• 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
• Hierarchies of Archimedean copulas
• 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
• SPRT and CUSUM in hidden Markov models
• Simultaneous nonparametric inference of time series

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
• Quantile hidden semi-Markov models for multivariate time series
• Football tracking data: a copula-based hidden Markov model for classification of tactics in football
• 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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