Recommendations
Cites work
- An introduction to copulas.
- Asymptotics for linear processes
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES
- Copula-based nonlinear quantile autoregression
- Copulas and temporal dependence
- Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
- Dynamic Copula-Based Markov Time Series
- Efficient estimation of copula-based semiparametric Markov models
- Estimation of copula-based semiparametric time series models
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 3395169 (Why is no real title available?)
- Introduction to strong mixing conditions. Vol. 3.
- Lower tail dependence for Archimedean copulas: characterizations and pitfalls
- Markov chains and stochastic stability
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Mixing properties of ARMA processes
- Non-strong mixing autoregressive processes
- Nonlinearity and temporal dependence
- Some mixing properties of time series models
- Tail dependence from a distributional point of view
Cited in
(18)- Time series with infinite-order partial copula dependence
- Stationary vine copula models for multivariate time series
- On tail dependence coefficients of transformed multivariate Archimedean copulas
- Goodness-of-fit test of copula functions for semi-parametric univariate time series models
- Copula-based Markov process
- A review of copula models for economic time series
- Time-dependent copulas
- Some aspects of modeling dependence in copula-based Markov chains
- Copulas for Markovian dependence
- scientific article; zbMATH DE number 1894358 (Why is no real title available?)
- On dependence structure of copula-based Markov chains
- Vine copula specifications for stationary multivariate Markov chains
- Copulas and temporal dependence
- The dispersive effect of cross-aging with archimedean copulas
- Time irreversible copula-based Markov models
- A novel copula-based approach for parametric estimation of univariate time series through its covariance decay
- Copulae: an overview and recent developments
- Copula-based analysis for count time series
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