High dimensional dynamic stochastic copula models
Drew D. Creal, Ruey S. Tsay (University of Chicago, Booth School of Business, USA)
| Year of publication: |
December 2015
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|---|---|
| Authors: | Creal, Drew ; Tsay, Ruey S. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 189.2015, 2, p. 335-345
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| Subject: | State space models | Dynamic copulas | Bayesian estimation | Particle filters | Credit default swaps | Multivariate Verteilung | Multivariate distribution | Zustandsraummodell | State space model | Kreditderivat | Credit derivative | Theorie | Theory | Bayes-Statistik | Bayesian inference | Stochastischer Prozess | Stochastic process | Kreditrisiko | Credit risk | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.03.027 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011504544