Time-varying copula models for financial time series
DOI10.1017/APR.2016.48zbMATH Open1426.62321OpenAlexW2343661543MaRDI QIDQ5197403FDOQ5197403
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
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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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Cited In (14)
- 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
- Title not available (Why is that?)
- Copula structured M4 processes with application to high-frequency financial data
- Dynamic structured copula models
- Copula based multivariate semi-Markov models with applications in high-frequency finance
- Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function
- Time-varying joint distribution through copulas
- 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
- A survey on time-varying copulas: specification, simulations, and application
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