Comparing point and interval estimates in the bivariate t-copula model with application to financial data

DOI10.1007/S00362-009-0279-8MaRDI QIDQ641791zbMATH OpenOpenAlexFDO

Authors Rada Dakovic, Claudia Czado

Publication date 25 October 2011

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-009-0279-8

zbMATH Keywords

maximum likelihoodsemiparametric estimationefficiencyFisher informationHessianbivariate \(t\)-copula

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Parametric tolerance and confidence regions (62F25) Nonparametric statistical resampling methods (62G09) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Empirical likelihood based confidence intervals for copulas
• Derivatives and Fisher information of bivariate copulas
• Nonparametric confidence intervals for tail dependence based on copulas
• Comparison of three semiparametric methods for estimating dependence parameters in copula models
• Semiparametric estimation in copula models

Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 3824228 (Why is no real title available?)
• scientific article; zbMATH DE number 1220667 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• A Limited Memory Algorithm for Bound Constrained Optimization
• Bayesian copulae distributions, with application to operational risk management
• Multivariate T-Distributions and Their Applications
• On nonparametric measures of dependence for random variables
• Ordinal Measures of Association
• Pair-copula constructions of multiple dependence
• The t Copula and Related Copulas

Cited in

(4)

• A Legendre multiwavelets approach to copula density estimation
• Jackknife empirical likelihood for parametric copulas
• A compendium of copulas
• Jackknife empirical likelihood test for the equality of degrees of freedom in t-copulas

Describes a project that uses

Uses Software

• LBFGS-B
• QRM
• bootstrap

This page was built for publication: Comparing point and interval estimates in the bivariate \(t\)-copula model with application to financial data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q641791)