Semi-Parametric Modelling of Correlation Dynamics

DOI10.1016/S0731-9053(05)20003-8zbMath1190.91155MaRDI QIDQ3571962

Philip Hans Franses, Dick van Dijk, Christian M. Hafner

Publication date: 30 June 2010

Published in: Advances in Econometrics (Search for Journal in Brave)

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

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

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