Generalized additive models for conditional dependence structures

DOI10.1016/j.jmva.2015.07.003zbMath1328.62390MaRDI QIDQ746876

Thibault Vatter, Valérie Chavez-Demoulin

Publication date: 21 October 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.07.003

zbMATH Keywords

copula; semiparametric modeling; regression splines; conditional rank correlations; intraday financial returns; penalized log-likelihood

Mathematics Subject Classification ID

62H30: Classification and discrimination; cluster analysis (statistical aspects)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F03: Parametric hypothesis testing

62J12: Generalized linear models (logistic models)

Related Items

About tests of the ``simplifying assumption for conditional copulas, Estimating non-simplified vine copulas using penalized splines

Uses Software

• R
• gamair
• QRM

Cites Work

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