Fitting high-dimensional copulae to data
Year of publication: |
2010
|
---|---|
Authors: | Okhrin, Ostap |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Kopula (Mathematik) | Multivariate Analyse | Zeitreihenanalyse | Statistischer Test | Theorie | copula | multivariate distribution | Archimedean copula | GoF |
Series: | SFB 649 Discussion Paper ; 2010,022 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 623857928 [GVK] hdl:10419/39301 [Handle] |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C50 - Econometric Modeling. General |
Source: |
-
Time varying hierarchical archimedean copulae
Härdle, Wolfgang Karl, (2010)
-
De copulis non est disputandum Copulae: An overview
Härdle, Wolfgang Karl, (2009)
-
Fitting high-dimensional Copulae to Data
Okhrin, Ostap, (2010)
- More ...
-
Conditional systemic risk with penalized copula
Okhrin, Ostap, (2015)
-
Efficient iterative maximum likelihood estimation of high-parameterized time series models
Hautsch, Nikolaus, (2014)
-
Goodness-of-fit test for specification of semiparametric copula dependence models
Zhang, Shulin, (2013)
- More ...