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Modeling Multivariate Interest Rates using Time-Varying Copulas and Reducible Stochastic Differential Equations
Bu, Ruijun; Giet, Ludovic; Hadri, Kaddour; Lubrano, Michel - HAL - 2009
structure of the two rates using Patton (2006a) time-varying Symmetrised Joe-Clayton copula. We find evidence of asymmetric …
Persistent link: https://www.econbiz.de/10008793845
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Specification tests of parametric dynamic conditional quantiles
Escanciano, J. Carlos; Velasco, Carlos - HAL - 2010
This article proposes omnibus specification tests of parametric dynamic quantile models. Contrary to the existing procedures, we allow for a flexible specification, where a possibly continuum of quantiles are simultaneously specified under fairly weak conditions on the serial dependence in the...
Persistent link: https://www.econbiz.de/10010774278
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Specification tests of parametric dynamic conditional quantiles
Escanciano, J. Carlos; Velasco, Carlos - HAL - 2010
This article proposes omnibus specification tests of parametric dynamic quantile models. Contrary to the existing procedures, we allow for a flexible specification, where a possibly continuum of quantiles are simultaneously specified under fairly weak conditions on the serial dependence in the...
Persistent link: https://www.econbiz.de/10010570522