Efficient Bayesian inference for stochastic time-varying copula models
DOI10.1016/J.CSDA.2011.08.015zbMATH Open1243.62031OpenAlexW1967861028MaRDI QIDQ434914FDOQ434914
Authors: Claudia Czado, Carlos A. S. Almeida 
Publication date: 16 July 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2011.08.015
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Cites Work
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Cited In (20)
- The copula directional dependence by stochastic volatility models
- A classification point-of-view about conditional Kendall's tau
- Multivariate option pricing using copulae
- CD-vine model for capturing complex dependence
- Vine-copula GARCH model with dynamic conditional dependence
- A Bayesian inference for time series via copula-based Markov chain models
- Selection of vine copulas
- Efficient data augmentation techniques for some classes of state space models
- High dimensional dynamic stochastic copula models
- A new approach to risk-return trade-off dynamics via decomposition
- Clayton copula for survival data with dependent censoring: an application to a tuberculosis treatment adherence data
- Unfolded GARCH models
- Time-Varying Mixture Copula Models with Copula Selection
- Regime switches in the dependence structure of multidimensional financial data
- Efficient Bayesian inference for Gaussian copula regression models
- Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
- Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
- Simplified pair copula constructions -- limitations and extensions
- Bayesian sequential design for copula models
- Variational Bayes Estimation of Discrete-Margined Copula Models With Application to Time Series
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