Maximum likelihood estimation of skew-t copulas with its applications to stock returns
DOI10.1080/00949655.2018.1469631OpenAlexW2804760238MaRDI QIDQ4960698FDOQ4960698
Authors: Toshinao Yoshiba 
Publication date: 23 April 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2018.1469631
copulamaximum likelihood estimationtail dependencegeneralized hyperbolic distributionskew-\(t\) distributiontail asymmetry
Multivariate distribution of statistics (62H10) Measures of association (correlation, canonical correlation, etc.) (62H20) Approximations to statistical distributions (nonasymptotic) (62E17)
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Cited In (13)
- Copula shrinkage and portfolio allocation in ultra-high dimensions
- Implicit Copula Variational Inference
- Copula-based measures of asymmetry between the lower and upper tail probabilities
- Copula density estimation by finite mixture of parametric copula densities
- Conditional normal extreme-value copulas
- Copula diagnostics for asymmetries and conditional dependence
- Statistical disclosure control for continuous variables using an extended skew-t copula
- Tail densities of skew-elliptical distributions
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- Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
- Nonparametric Tail Copula Estimation: An Application to Stock and Volatility Index Returns
- High-Dimensional Copula Variational Approximation Through Transformation
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