LOCAL ESTIMATION OF DYNAMIC COPULA MODELS

DOI10.1142/S0219024910005759zbMath1203.91315MaRDI QIDQ3564992

Eduardo Fraga L. de Melo, Beatriz Vaz de Melo Mendes

Publication date: 27 May 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

copulas; value-at-risk; GARCH models; local maximum likelihood estimation

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

62H05: Characterization and structure theory for multivariate probability distributions; copulas

Related Items

Dynamic bivariate normal copula

Uses Software

• sm

Cites Work

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