Giacomini, Enzo; Härdle, Wolfgang; Ignatieva, Ekaterina; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
parameter is shown by a constant horizontal line. The “local”
3
choice of copula is performed via an adaptive estimation method … based on Spokoiny (2007). The
adaptive estimation is based on the assumption of local homogeneity: for every time point … three possible copulae estimation procedures. The adaptive estimation
and the moving window approach are presented in …