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

DOI10.1007/S00362-009-0279-8zbMATH Open1230.62028OpenAlexW2022581469MaRDI QIDQ641791FDOQ641791

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

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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)

Cites Work

• Pair-copula constructions of multiple dependence
• On nonparametric measures of dependence for random variables
• Title not available (Why is that?)
• Title not available (Why is that?)
• A Limited Memory Algorithm for Bound Constrained Optimization
• Title not available (Why is that?)
• The t Copula and Related Copulas
• Multivariate T-Distributions and Their Applications
• Ordinal Measures of Association
• Title not available (Why is that?)
• Bayesian copulae distributions, with application to operational risk management

Cited In (4)

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

Uses Software

• LBFGS-B
• QRM
• bootstrap

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