Maximum likelihood estimation of multivariate regime switching Student-t copula models

DOI10.1111/INSR.12562MaRDI QIDQ6663973FDOQ6663973

Authors: Federico P. Cortese, Fulvia Pennoni, Francesco Bartolucci 

Publication date: 15 January 2025

Published in: International Statistical Review (Search for Journal in Brave)

zbMATH Keywords

latent variable modelsexpectation-maximisation algorithmcryptocurrenciescopula modelsdaily log-returns

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Applications of statistics (62Pxx) Multivariate analysis (62Hxx)

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