Anatolyev, Stanislav; Khabibullin, Renat; Prokhorov, Artem - Center for Economic and Financial Research (CEFIR), New … - 2013
We propose a new sequential procedure for estimating a dynamic joint distribution of a group of assets. The procedure is motivated by the theory of composite likelihood and by the theory of copula functions. It recovers m-variate distributions by coupling univariate distributions with...