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ArticleAsymptotic properties of the Bernstein density copula estimator for α -mixing data

Taoufik Bouezmarni2009

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Articlebronze2009

Asymptotic properties of the Bernstein density copula estimator for α -mixing data

Taoufik Bouezmarni · Jeroen V.K. Rombouts · Abderrahim Taamouti

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

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Financial Risk and Volatility Modeling Probability and Statistical Research Statistical Distribution Estimation and Applications

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References

1986Generalized autoregressive conditional heteroskedasticity 1999An Introduction to Copulas 2006An Introduction to Copulas (Springer Series in Statistics)2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS 2005Estimation of copula-based semiparametric time series models 2004Goodness-of-fit tests for copulas 2004THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS 2008Testing for equality between two copulas

Cited by

2013Non-parametric copulas for circular–linear and circular–circular data: an application to wind directions 2013A note on the asymptotic behavior of the Bernstein estimator of the copula density 2017Testing independence based on Bernstein empirical copula and copula density 2014Nonparametric estimation and inference for conditional density based Granger causality measures 2013Flexible pair-copula estimation in D-vines using bivariate penalized splines

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Year2009

Typearticle

Published2009-03-12

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations51

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2009.02.014

openalex_workW2085055839

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2011

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2017On multivariate asymmetric dependence using multivariate skew-normal copula-based regression