Efficient estimation of multivariate semi-nonparametric GARCH filtered Copula models
Xiaohong Chen, Zhuo Huang, Yanping Yi
| Year of publication: |
2020-02-26 ; Revised October 9, 2019
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| Authors: | Chen, Xiaohong ; Huang, Zhuo ; Yi, Yanping |
| Publisher: |
[Beijing] : National School of Development, Peking University |
| Subject: | Semi-nonparametric dynamic models | Residual copulas | Semiparametric multistep | Residual sieve maximum likelihood | 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 |
freely available
| Extent: | 1 Online-Ressource (circa 78 Seiten) Illustrationen |
|---|---|
| Series: | Working paper series. - Beijing : National School of Development, Peking Univ., ZDB-ID 2627844-3. - Vol. $lE 2020, 004 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015054147