Semiparametric Dynamic Max-Copula Model for Multivariate Time Series

DOI10.1111/RSSB.12256MaRDI QIDQ4607216zbMATH OpenOpenAlexFDO

Authors Zifeng Zhao, Zhengjun Zhang

Publication date 13 March 2018

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/rssb.12256

zbMATH Keywords

asymmetric dependencecomposite maximum likelihoodcopula constructionmarket crisismixture modellingtail dependence

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(14)

• Inference for Archimax copulas
• Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
• Multivariate composite copulas
• Copula‐based semiparametric analysis for time series data with detection limits
• On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
• Multivariate extremes and max-stable processes: discussion of the paper by Zhengjun Zhang
• Rejoinder of “On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”
• New extreme value theory for maxima of maxima
• Enhanced pricing and management of bundled insurance risks with dependence-aware prediction using pair copula construction
• Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets
• Modeling Multivariate Time Series With Copula-Linked Univariate D-Vines
• A zero serial cross-correlation test before fitting heteroscedasticity
• Double Dynamic Max-Copula Model with Application to Financial Time Series
• Generalized local Kendall's : a novel framework for uncovering nonlinear local dependence

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