Statistical properties of semiparametric estimators for copula-based Markov chain vectors models

MaRDI QIDQ5299787zbMATH OpenFDO

Authors Wende Yi, B. Stephen Shaoyi Liao

Publication date 21 June 2013

zbMATH Keywords

and 2SSPPMLEcontemporaneous dependencecopulasemiparametric estimationtemporal dependence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12)

Recommendations

• Estimation of copula-based semiparametric time series models
• Efficient estimation of copula-based semiparametric Markov models
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Cited in

(6)

• Efficient estimation of copula-based semiparametric Markov models
• Semi-parametric copula-based models under non-stationarity
• Statistical properties of parametric estimators for Markov chain vectors based on copula models
• Modeling statistical dependence of Markov chains via copula models
• Estimation of copula-based semiparametric time series models
• Skew-t copula-based semiparametric Markov chains

Describes a project that uses

Uses Software

• CAViaR

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