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Inhomogeneous dependence modeling with time-varying copulae
Giacomini, Enzo; Härdle, Wolfgang; Spokojnyj, Vladimir G. - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 2, pp. 224-234
Persistent link: https://www.econbiz.de/10003885784
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Smooth tests of copula specifications
Lin, Juan; Wu, Ximing - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 128-143
Persistent link: https://www.econbiz.de/10011389984
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Semiparametric conditional quantile estimation through copula-based multivariate models
Noh, Hohsuk; El Ghouch, Anouar; Van Keilegom, Ingrid - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 167-178
Persistent link: https://www.econbiz.de/10011390008
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Statistical inference for a relative risk measure
He, Yi; Hou, Yanxi; Peng, Liang; Sheng, Jiliang - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 301-311
Persistent link: https://www.econbiz.de/10012177340
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Transformation-kernel estimation of copula densities
Wen, Kuangyu; Wu, Ximing - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 148-164
Persistent link: https://www.econbiz.de/10012179535
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Nonparametric copula estimation for mixed insurance claim data
Yang, Lu - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 537-546
Persistent link: https://www.econbiz.de/10013533451
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Nonparametric estimation and testing for positive quadrant dependent bivariate copula
Lu, Lu; Ghosh, Sujit K. - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 664-677
Persistent link: https://www.econbiz.de/10013534040
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The effect of dependence on European market risk : a nonparametric time varying approach
Ascorbebeitia, Jone; Ferreira, Eva; Orbe-Mandaluniz, Susan - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 913-923
Persistent link: https://www.econbiz.de/10013534579
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Bootstrapping two-stage quasi-maximum likelihood estimators of time series models
Gonçalves, Sílvia; Hounyo, Ulrich; Patton, Andrew J.; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 683-694
Persistent link: https://www.econbiz.de/10014448421
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Extremal dependence-based specification testing of time series
Hoga, Yannick - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1274-1287
Persistent link: https://www.econbiz.de/10014448632