Efficient Estimation of a Dynamic Error-Shock Model
نویسندگان
چکیده
منابع مشابه
Efficient estimation of a semiparametric dynamic copula model
Outline Introduction Semi-parametric dynamic copula Motivation Local likelihood estimation Variance of the estimator Bias of the estimator Bandwidth selection Estimation of joint likelihood Modeling of marginal distributions Simulations and applications Simulations Empirical example Conclusions Problems and Solutions Problems Modeling dependence is critical for financial time series Model volat...
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ژورنال
عنوان ژورنال: International Economic Review
سال: 1978
ISSN: 0020-6598
DOI: 10.2307/2526313