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Cites work
- Analytical derivates of the APARCH model
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 3942888 (Why is no real title available?)
- Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
- Maximization by Parts in Likelihood Inference
- Multivariate Dispersion Models Generated From Gaussian Copula
- Numerical methods of statistics
- Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
- Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
- The zero-information-limit condition and spurious inference in weakly identified models
Cited in
(19)- Optimal dynamic hedging via copula-threshold-GARCH models
- Linear time-varying regression with copula-DCC-GARCH models for volatility
- Efficient two-step estimation via targeting
- On multivariate asymmetric dependence using multivariate skew-normal copula-based regression
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Conditional copula simulation for systemic risk stress testing
- Flexible bivariate Poisson integer-valued GARCH model
- Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo
- Truncation of vine copulas using fit indices
- Joint forecasts of Dow Jones stocks under general multivariate loss function
- Time-varying joint distribution through copulas
- Efficient estimation of a semiparametric dynamic copula model
- A mixed copula model for insurance claims and claim sizes
- Copula-based multivariate GARCH model with uncorrelated dependent errors
- The partial copula: properties and associated dependence measures
- Modeling dependence dynamics through copulas with regime switching
- Efficient Bayesian inference for stochastic time-varying copula models
- Copula hurdle GARCH models for multivariate non-negative time series
- Efficient maximum likelihood estimation of copula based meta \(t\)-distributions
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