Statistical inference for multivariate residual copula of GARCH models
zbMATH Open1153.62068MaRDI QIDQ3600720FDOQ3600720
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
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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)
Cited In (23)
- Derivatives and Fisher information of bivariate copulas
- Statistical models and methods for dependence in insurance data
- RANDOMIZATION TESTS OF COPULA SYMMETRY
- Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
- A copula approach for dependence modeling in multivariate nonparametric time series
- Goodness-of-fit test for tail copulas modeled by elliptical copulas
- Time-varying copula models for financial time series
- Bayesian model selection for D-vine pair-copula constructions
- Copula-based multivariate GARCH model with uncorrelated dependent errors
- Evaluating Multivariate GARCH Models in the Nordic Electricity Markets
- Generalized runs tests for the IID hypothesis
- Efficient estimation of copula-GARCH models
- Change point detection in SCOMDY models
- Testing the simplifying assumption in high-dimensional vine copulas
- Maximum likelihood estimation of mixed C-vines with application to exchange rates
- Nonparametric tests for constant tail dependence with an application to energy and finance
- A review of copula models for economic time series
- Estimating dynamic copula dependence using intraday data
- Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo
- Robust estimation for copula parameter in SCOMDY models
- Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models
- Is CSR linked to Idiosyncratic risk? Evidence from the copula approach
- Estimating Archimedean copulas in high dimensions
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