Local estimation of dynamic copula models
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Publication:3564992
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Cites work
- scientific article; zbMATH DE number 1687023 (Why is no real title available?)
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 1082208 (Why is no real title available?)
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bandwidth choice and confidence intervals for derivatives of noisy data
- Bivariate option pricing using dynamic copula models
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Generalized autoregressive conditional heteroscedasticity
- Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
- Local Likelihood Smoothing of Sample Extremes
- Local dependence estimation using semiparametric archimedean copulas
- Modeling and pricing long memory in stock market volatility
- Semiparametric estimation in copula models
- Weak convergence of empirical copula processes
Cited in
(13)- Contagion determination via copula and volatility threshold models
- Archimedean copulas for price-volume dependencies of DAX companies
- Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysis
- Dynamic bivariate normal copula
- Three non-Gaussian models of dependence in returns
- Efficient estimation of copula-GARCH models
- Modeling dependence dynamics through copulas with regime switching
- Assessing dependence between financial market indexes using conditional time-varying copulas: applications to value at risk (VaR)
- Managing risk with a realized copula parameter
- Copula-GARCH time-varying tail dependence
- Estimating dynamic copula dependence using intraday data
- Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
- Dependence structure of market states
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