Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models

DOI10.1002/ASMB.2182zbMath1411.62290arXiv1202.2008OpenAlexW2429027831MaRDI QIDQ4620154

Hans Manner, Claudia Czado, Carlos A. S. Almeida

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.2008

zbMATH Keywords

time seriessequential estimationefficient importance samplingtime-varying copulageneralized autoregressive scoreD-vinesstock return dependence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Sequential estimation (62L12)

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