Maximum likelihood estimation of multivariate regime switching Student-t copula models
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Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
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- Bootstrap Methods
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- Latent Markov models for longitudinal data
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- Modelling the persistence of conditional variances
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- Selecting the number of states in hidden Markov models: pragmatic solutions illustrated using animal movement
- Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
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- Statistical methods for financial engineering
- The Model Confidence Set
- The Stationary Bootstrap
- The t Copula and Related Copulas
- Wild binary segmentation for multiple change-point detection
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