Semiparametric Dynamic Max-Copula Model for Multivariate Time Series
DOI10.1111/RSSB.12256OpenAlexW2766823937MaRDI QIDQ4607216FDOQ4607216
Authors: Zifeng Zhao, Zhengjun Zhang 
Publication date: 13 March 2018
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/rssb.12256
Recommendations
tail dependencemixture modellingasymmetric dependencecomposite maximum likelihoodcopula constructionmarket crisis
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)
Cited In (11)
- Copula‐based semiparametric analysis for time series data with detection limits
- On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
- Multivariate extremes and max-stable processes: discussion of the paper by Zhengjun Zhang
- New extreme value theory for maxima of maxima
- Rejoinder of “On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”
- Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
- Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets
- Modeling Multivariate Time Series With Copula-Linked Univariate D-Vines
- Inference for Archimax copulas
- Multivariate composite copulas
- Enhanced pricing and management of bundled insurance risks with dependence-aware prediction using pair copula construction
This page was built for publication: Semiparametric Dynamic Max-Copula Model for Multivariate Time Series
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4607216)
