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  • Search: subject:"nonparametric conditional distribution"
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Year of publication
Subject
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copula 1 correlation 1 multivariate time series 1 nonparametric conditional distribution 1 risk management 1
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Book / Working Paper 1
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Undetermined 1
Author
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Panchenko, Valentyn 1
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Society for Computational Economics - SCE 1
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Computing in Economics and Finance 2006 1
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RePEc 1
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Evaluating the Predictive Abilities of Semiparametric Multivariate Models
Panchenko, Valentyn - Society for Computational Economics - SCE - 2006
We propose a new semiparametric procedure for estimating multivariate models with conditioning variables. The semiparametric model is based on the parametric conditional copula and nonparametric conditional marginals. To avoid the curse of dimensionality in the estimation of the latter, we...
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