Time-varying copula models for financial time series

DOI10.1017/APR.2016.48MaRDI QIDQ5197403zbMATH OpenOpenAlexFDO

Authors Rüdiger Kiesel, Magda Mroz, Ulrich Stadtmüller

Publication date 23 September 2019

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/apr.2016.48

zbMATH Keywords

copulamultivariate time seriesbinomial testextremal test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Statistics of extreme values; tail inference (62G32) Economic time series analysis (91B84)

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Cites work

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• Statistical inference for multivariate residual copula of GARCH models
• Testing Statistical Hypotheses

Cited in

(14)

• A survey on time-varying copulas: specification, simulations, and application
• Score test for varying copula parameter in bivariate financial time series
• Change analysis of a dynamic copula for measuring dependence in multivariate financial data
• A copula approach for dependence modeling in multivariate nonparametric time series
• Copula structured M4 processes with application to high-frequency financial data
• scientific article; zbMATH DE number 7295850 (Why is no real title available?)
• Dynamic structured copula models
• Copula based multivariate semi-Markov models with applications in high-frequency finance
• Time-varying joint distribution through copulas
• Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function
• Modeling time-varying dependencies between positive-valued high-frequency time series
• Financial Crisis, VaR Forecasts and the Performance of Time Varying EVT-Copulas
• Copula-based dynamic models for multivariate time series
• Time-dependent copulas

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