Semiparametric Conditional Quantile Estimation Through Copula-Based Multivariate Models
نویسندگان
چکیده
منابع مشابه
Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models Under Copula Misspecification∗
Recently Chen and Fan (2003a) introduced a new class of semiparametric copula-based multivariate dynamic (SCOMDY) models. A SCOMDY model specifies the conditional mean and the conditional variance of a multivariate time series parametrically (such as VAR, GARCH), but specifies the multivariate distribution of the standardized innovation semiparametrically as a parametric copula evaluated at non...
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The authors extend to multivariate contexts the copula-based univariate time series modeling approach of Chen & Fan [X. Chen, Y. Fan, Estimation of copula-based semiparametric time series models, J. Econometrics 130 (2006) 307–335; X. Chen, Y. Fan, Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification, J. Econometrics 135 (2006) ...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2014
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.2014.926171