Vine-copula GARCH model with dynamic conditional dependence
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Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites work
- An empirical analysis of multivariate copula models
- An introduction to copulas.
- Efficient Bayesian inference for stochastic time-varying copula models
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- Modeling longitudinal data using a pair-copula decomposition of serial dependence
- Pair-copula constructions of multiple dependence
- Partial correlation with copula modeling
- Probability density decomposition for conditionally dependent random variables modeled by vines
- The structure of dynamic correlations in multivariate stochastic volatility models
- Time-varying joint distribution through copulas
- Uncertainty Analysis with High Dimensional Dependence Modelling
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Vines -- a new graphical model for dependent random variables.
Cited in
(20)- Vine copula approximation: a generic method for coping with conditional dependence
- A classification point-of-view about conditional Kendall's tau
- Forecasting VaR and ES of stock index portfolio: a vine copula method
- Modelling mortality dependence: an application of dynamic vine copula
- Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management
- A time-varying multivariate noncentral contaminated normal copula model and its application to the visualized dependence analysis of Hong Kong stock markets
- Dynamic D-vine copula model with applications to Value-at-Risk (VaR)
- Vine copula statistical disclosure control for mixed-type data
- Multivariate dynamic copula construction based on a vine structure
- The shifting dependence dynamics between the G7 stock markets
- Statistical arbitrage with vine copulas
- Dynamic asset correlations based on vines
- A multivariate volatility vine copula model
- The copula directional dependence by stochastic volatility models
- CD-vine model for capturing complex dependence
- Dynamic conditional eigenvalue GARCH
- Spline based Hermite quasi-interpolation for univariate time series
- Statistical disclosure control for continuous variables using an extended skew-t copula
- Trivariate-ARMA–GARCH type–Vine Copula model for time series forecasting
- Vine copula-based optimal multivariate deep learning model with genetic algorithm optimization for time series forecasting
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