Time series copula models using d-vines and v-transforms
نویسندگان
چکیده
An approach to modelling volatile financial return series using stationary d-vine copula processes combined with Lebesgue-measure-preserving transformations known as v-transforms is proposed. By developing a method of stochastically inverting v-transforms, models are constructed that can describe both stochastic volatility in the magnitude price movements and serial correlation their directions. In combination parametric marginal distributions it shown these rival sometimes outperform well-known extended GARCH family.1
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ژورنال
عنوان ژورنال: Econometrics and Statistics
سال: 2022
ISSN: ['2452-3062', '2468-0389']
DOI: https://doi.org/10.1016/j.ecosta.2021.07.004