Almeida, Carlos; Czado, Claudia - In: Computational Statistics & Data Analysis 56 (2012) 6, pp. 1511-1527
There is strong empirical evidence that dependence in multivariate financial time series varies over time. To model this effect, a time varying copula class is developed, which is called the stochastic copula autoregressive (SCAR) model. Dependence at time t is modeled by a real-valued latent...