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

binomial testcopulaextremal testmultivariate time series

Mathematics Subject Classification ID

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

Recommendations

• Copula-based dynamic models for multivariate time series
• Score test for varying copula parameter in bivariate financial time series
• Copula–Based Models for Financial Time Series
• Dynamic structured copula models
• Time-varying joint distribution through copulas

Cites work

• A goodness of fit test for copulas based on Rosenblatt's transformation
• A Lyapunov-type Bound in R^d
• A review of copula models for economic time series
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• An improved Bonferroni procedure for multiple tests of significance
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Decay Rates for Inverses of Band Matrices
• Detecting changes in cross-sectional dependence in multivariate time series
• Econometric analysis of carbon markets. The European Union Emissions Trading Scheme and the Clean Development Mechanism
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Goodness-of-fit tests for copulas: A review and a power study
• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Modeling Dependencies with Copulae
• Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models
• Regime switches in the dependence structure of multidimensional financial data
• Regular variation and related results for the multivariate GARCH(p,q) model with constant conditional correlations
• Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber
• Statistical inference for multivariate residual copula of GARCH models
• Testing Statistical Hypotheses

Cited in

(16)

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

This page was built for publication: Time-varying copula models for financial time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5197403)