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Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 135 (2006) 1/2, pp. 125-154
Persistent link: https://www.econbiz.de/10003376080
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Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 91 (1999) 2, pp. 373-401
Persistent link: https://www.econbiz.de/10001382096
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Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
Fan, Yanqin; Han, Fang; Park, Hyeonseok - In: Journal of econometrics 237 (2023) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10014471479