High dimensional dynamic stochastic copula models

DOI10.1016/j.jeconom.2015.03.027zbMath1337.62115OpenAlexW4367590676MaRDI QIDQ888326

Ruey S. Tsay, Drew D. Creal

Publication date: 30 October 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.03.027

zbMATH Keywords

state space modelsBayesian estimationparticle filterscredit default swapsdynamic copulas

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Numerical analysis or methods applied to Markov chains (65C40) Credit risk (91G40)

Related Items (18)

Variational inference for high dimensional structured factor copulas ⋮ Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas ⋮ Portfolio optimization for inventory financing: copula-based approaches ⋮ On a model of environmental performance and technology gaps ⋮ Convex non-parametric least squares, causal structures and productivity ⋮ Frontiers in time series and financial econometrics: an overview ⋮ Portfolio selection based on semivariance and distance correlation under minimum variance framework ⋮ Dynamic factor copula models with estimated cluster assignments ⋮ Estimation and inference in factor copula models with exogenous covariates ⋮ Characterizing correlation matrices that admit a clustered factor representation ⋮ Testing for structural breaks in factor copula models ⋮ A Bayesian semiparametric approach to stochastic frontiers and productivity ⋮ Estimation of spatio-temporal extreme distribution using a quantile factor model ⋮ High-dimensional copula-based distributions with mixed frequency data ⋮ Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics ⋮ Management and takeover decisions ⋮ Fast inference methods for high-dimensional factor copulas ⋮ The Performance of Gaussian and non Gaussian dynamic models in assessing market risk: The Implications for risk management

Uses Software

• bfa

Cites Work

• The pseudo-marginal approach for efficient Monte Carlo computations
• Efficient Bayesian inference for Gaussian copula regression models
• Regime switching for dynamic correlations
• Factor copula models for multivariate data
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Markov chain Monte Carlo methods for stochastic volatility models.
• Inference in hidden Markov models.
• BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS
• The t Copula and Related Copulas
• Copula–Based Models for Financial Time Series
• A Survey of Sequential Monte Carlo Methods for Economics and Finance
• A Survey on Time-Varying Copulas: Specification, Simulations, and Application
• Bayesian Gaussian Copula Factor Models for Mixed Data
• Monte Carlo Smoothing for Nonlinear Time Series
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: High dimensional dynamic stochastic copula models