Efficient Bayesian inference for stochastic time-varying copula models
Year of publication: |
2012
|
---|---|
Authors: | Almeida, Carlos ; Czado, Claudia |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 56.2012, 6, p. 1511-1527
|
Publisher: |
Elsevier |
Subject: | Time varying dependence | Non-Gaussian copulas | Kendall’s τ | Bayesian inference | Markov Chain Monte Carlo | Coarse grid sampler |
-
Volatility estimation using a rational GARCH model
Takaishi, Tetsuya, (2018)
-
Zhu, Yanli, (2019)
-
Bayes estimates of multimodal density features using DNA and Economic Data
Basturk, Nalan, (2021)
- More ...
-
Modelling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence
Smith, Michael S., (2010)
-
Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence
Smith, Michael, (2010)
-
Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence
Smith, Michael, (2010)
- More ...