The copula directional dependence by stochastic volatility models

DOI10.1080/03610918.2017.1406512MaRDI QIDQ5085923zbMATH OpenOpenAlexFDO

Authors

Publication date 30 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2017.1406512

zbMATH Keywords

beta regression modelcopuladirectional dependencestochastic volatility model

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
• Asymmetric GARCH processes featuring both threshold effect and bilinear structure
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• Construction of asymmetric multivariate copulas
• Efficient Bayesian inference for Gaussian copula regression models
• Efficient Bayesian inference for stochastic time-varying copula models
• Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
• Gaussian copula marginal regression
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
• On the Behavior of Randomization Tests Without a Group Invariance Assumption
• Stochastic model specification search for Gaussian and partial non-Gaussian state space models
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The t Copula and Related Copulas
• Vine-copula GARCH model with dynamic conditional dependence

Cited in

(1)

• Dual volatility and dependence parameters and the copula

Describes a project that uses

Uses Software

• gcmr
• copBasic
• copula
• stochvol
• VineCopula
• copula

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