Similar Search Results

The effect of dependence on European market risk : a nonparametric time varying approach

Ascorbebeitia, Jone; Ferreira, Eva; Orbe-Mandaluniz, Susan - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 913-923

Persistent link: https://www.econbiz.de/10013534579

Semiparametric conditional quantile estimation through copula-based multivariate models

Noh, Hohsuk; El Ghouch, Anouar; Van Keilegom, Ingrid - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 167-178

Persistent link: https://www.econbiz.de/10011390008

Nonparametric forecasting of multivariate probability density functions

Guégan, Dominique; Iacopini, Matteo - 2018

Persistent link: https://www.econbiz.de/10011868987

Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models

Chen, Xiaohong - 2019

This paper considers estimation of semi-nonparametric GARCH ﬁltered copula models in which the individual time series are modelled by semi-nonparametric GARCH and the joint distributions of the multivariate standardized innovations are characterized by parametric copulas with nonparametric...

Persistent link: https://www.econbiz.de/10012857717