A review of copula models for economic time series (English)
- New search for: Patton, Andrew J.
- New search for: Patton, Andrew J.
In:
Journal of Multivariate Analysis
;
110
;
4-18
;
2012
-
ISSN:
- Article (Journal) / Electronic Resource
-
Title:A review of copula models for economic time series
-
Contributors:Patton, Andrew J. ( author )
-
Published in:Journal of Multivariate Analysis ; 110 ; 4-18
-
Publisher:
- New search for: Elsevier Inc.
-
Publication date:2012-01-01
-
Size:15 pages
-
ISSN:
-
DOI:
-
Type of media:Article (Journal)
-
Type of material:Electronic Resource
-
Language:English
-
Keywords:62-02 , 62H20 , 62P20 , 91B84 , 62E20 , Correlation , Inference , Multivariate models , Semiparametric estimation , Time series
-
Source:
Table of contents – Volume 110
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 1
-
Preface to the Special Issue on Copula Modeling and DependenceGenest, Christian et al. | 2012
- 4
-
A review of copula models for economic time seriesPatton, Andrew J. et al. | 2012
- 19
-
Time-dependent copulasFermanian, Jean-David / Wegkamp, Marten H. et al. | 2012
- 30
-
Copula-based semiparametric models for multivariate time seriesRémillard, Bruno / Papageorgiou, Nicolas / Soustra, Frédéric et al. | 2012
- 43
-
Semiparametric estimation of conditional copulasAbegaz, Fentaw / Gijbels, Irène / Veraverbeke, Noël et al. | 2012
- 74
-
Beyond simplified pair-copula constructionsAcar, Elif F. / Genest, Christian / Nešlehová, Johanna et al. | 2012
- 91
-
Comparison of estimators for pair-copula constructionsHobæk Haff, Ingrid et al. | 2011
- 106
-
In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomesCraiu, V. Radu / Sabeti, Avideh et al. | 2012
- 121
-
A test for Archimedeanity in bivariate copula modelsBücher, Axel / Dette, Holger / Volgushev, Stanislav et al. | 2012
- 133
-
Likelihood inference for Archimedean copulas in high dimensions under known marginsHofert, Marius / Mächler, Martin / McNeil, Alexander J. et al. | 2012
- 151
-
-extendible copulasMai, Jan-Frederik / Scherer, Matthias et al. | 2012
- 151
-
-extendible copulasMai, Jan-Frederik et al. | 2012
- 161
-
The multivariate Piecing-Together approach revisitedAulbach, Stefan / Falk, Michael / Hofmann, Martin et al. | 2012
- 171
-
Nonparametric maximum likelihood estimation for dependent truncation data based on copulasEmura, Takeshi / Wang, Weijing et al. | 2012
- IFC
-
Editorial Board| 2012