HMM in dynamic HAC models
Year of publication: |
2012
|
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Authors: | Härdle, Wolfgang Karl ; Okhrin, Ostap ; Wang, Weining |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Markovscher Prozess | Kopula (Mathematik) | Statistische Verteilung | Theorie | Hidden Markov model | Hierarchical Archimedean Copulae | multivariate distribution |
Series: | SFB 649 Discussion Paper ; 2012-001 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 682320536 [GVK] hdl:10419/56691 [Handle] |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; g50 |
Source: |
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Härdle, Wolfgang, (2012)
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Hidden Markov Structures for Dynamic Copulae
Härdle, Wolfgang K., (2016)
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Time varying hierarchical archimedean copulae
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Härdle, Wolfgang Karl, (2010)
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Härdle, Wolfgang, (2012)
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Hidden Markov structures for dynamic copulae
Härdle, Wolfgang, (2015)
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