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ArticleSemiparametric estimation of conditional copulas

Fentaw Abegaz2012

OA

Articlebronze2012

Semiparametric estimation of conditional copulas

Fentaw Abegaz · Irène Gijbels · Noël Veraverbeke

67 citations·0/0 files stored·Journal of Multivariate Analysis

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Statistical Methods and Inference

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References

1999An Introduction to Copulas 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 1986Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données 2006Comparison of semiparametric and parametric methods for estimating copulas 2005Semiparametric estimation in copula models 1990Estimating the density of a copula function

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2017About tests of the “simplifying” assumption for conditional copulas 2013Statistical testing of covariate effects in conditional copula models 2013An Overview of the Goodness-of-Fit Test Problem for Copulas 2012Multivariate and functional covariates and conditional copulas 2014Additive models for conditional copulas

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2014Copulas and Copula Modelsother · 7 shared references 2012In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomesarticle · 6 shared references 2017About tests of the “simplifying” assumption for conditional copulasarticle · 6 shared references 2012Likelihood inference for Archimedean copulas in high dimensions under known marginsarticle · 5 shared references 2012Time-dependent copulasarticle · 5 shared references 2011Bayesian model selection for D-vine pair-copula constructionsarticle · 5 shared references

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Year2012

Typearticle

Published2012-04-30

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations67

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2012.04.001

openalex_workW2004185427

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