Statistical inference for multivariate residual copula of GARCH models

MaRDI QIDQ3600720zbMATH OpenFDO

Authors Ngai Hang Chan, Jian Chen, Xiaohong Chen, Yanqin Fan, Liang Peng

Publication date 5 February 2009

Full work available at URL http://www3.stat.sinica.edu.tw/statistica/J19N1/J19N12/J19N12.html

zbMATH Keywords

copulaGARCHgoodness-of-fit testpseudo maximum likelihood estimationresidual empirical distribution

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30)

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Cited in

(23)

• Randomization tests of copula symmetry
• Estimating Archimedean copulas in high dimensions
• Nonparametric tests for constant tail dependence with an application to energy and finance
• Time-varying copula models for financial time series
• Robust estimation for copula parameter in SCOMDY models
• Bayesian model selection for D-vine pair-copula constructions
• Estimating dynamic copula dependence using intraday data
• Is CSR linked to Idiosyncratic risk? Evidence from the copula approach
• Goodness-of-fit test for tail copulas modeled by elliptical copulas
• Efficient estimation of copula-GARCH models
• Generalized runs tests for the IID hypothesis
• Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo
• Evaluating Multivariate GARCH Models in the Nordic Electricity Markets
• Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
• Testing the simplifying assumption in high-dimensional vine copulas
• Copula-based multivariate GARCH model with uncorrelated dependent errors
• Derivatives and Fisher information of bivariate copulas
• Statistical models and methods for dependence in insurance data
• Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models
• A copula approach for dependence modeling in multivariate nonparametric time series
• Maximum likelihood estimation of mixed C-vines with application to exchange rates
• Change point detection in SCOMDY models
• A review of copula models for economic time series

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