Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
Xiaohong Chen, Zhuo Huang, Yanping Yi
| Year of publication: |
2021
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|---|---|
| Authors: | Chen, Xiaohong ; Huang, Zhuo ; Yi, Yanping |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 222.2021, 1,2, p. 484-501
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| Subject: | Residual copulas | Residual sieve maximum likelihood | Semi-nonparametric dynamic models | Semi-nonparametric multi-step | Semiparametric efficiency | Nichtparametrisches Verfahren | Nonparametric statistics | Multivariate Verteilung | Multivariate distribution | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.07.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012619712