Non-parametric estimation of copula parameters : testing for time-varying correlation

Jinguo Gong, Weiou Wu, David McMillan and Daimin Shi

Year of publication:	2015
Authors:	Gong, Jinguo ; Wu, Weiou ; McMillan, David G. ; Shi, Daimin
Published in:	Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 19.2015, 1, p. 93-106
Subject:	dynamic dependence \| kernel estimate \| local likelihood estimation \| stock returns \| time-varying copula \| Schätztheorie \| Estimation theory \| Multivariate Verteilung \| Multivariate distribution \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Kapitaleinkommen \| Capital income \| Schätzung \| Estimation \| Korrelation \| Correlation \| Zeitreihenanalyse \| Time series analysis \| Maximum-Likelihood-Schätzung \| Maximum likelihood estimation \| ARCH-Modell \| ARCH model \| Börsenkurs \| Share price

Extent:	graph. Darst.
Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Notes:	Systemvoraussetzungen: PDF Reader
Other identifiers:	10.1515/snde-2012-0089 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011311193