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Variational Bayes Estimation of Time Series Copulas for Multivariate Ordinal and Mixed Data
Loaiza Maya, Rubén Albeiro - 2018
series copula models, and the efficacy of the variational Bayes estimator for copulas of up to 792 dimensions and 60 … parameters. This far exceeds the size and complexity of copula models for discrete data that can be estimated using previous …
Persistent link: https://www.econbiz.de/10012931426
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Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo
Burda, Martin; Belisle, Louis - 2019
Persistent link: https://www.econbiz.de/10011999786
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Bayesian multivariate isotonic regression splines : applications to carcinogenicity studies
Cai, Bo; Dunson, David B. - In: Journal of the American Statistical Association : JASA 102 (2007) 480, pp. 1158-1171
Persistent link: https://www.econbiz.de/10003625323
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Bayesian inference for multivariate copulas using pair-copula constructions
Min, Aleksey; Czado, Claudia - In: Journal of financial econometrics : official journal of … 8 (2010) 4, pp. 511-546
Persistent link: https://www.econbiz.de/10008665740
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A latent variable perspective of copula modeling
George, Edward I.; Jensen, Shane T. - In: Marketing science : the marketing journal of the … 30 (2011) 1, pp. 22-24
Persistent link: https://www.econbiz.de/10008905602
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Orthogonal transformation of coordinates in copula M-GARCH models - Bayseian analysis for WIG20 spot and futures returns
Pipień, Mateusz - 2013
Persistent link: https://www.econbiz.de/10009754037
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Copula modelling of dependence in multivariate time series
Smith, Michael S. - In: International journal of forecasting 31 (2015) 3, pp. 815-833
Persistent link: https://www.econbiz.de/10011474586
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Orthogonal Transformation of Coordinates in Copula M-GARCH Models - Bayesian Analysis for WIG20 Spot and Futures Returns
Pipien, Mateusz - 2016
We check the empirical importance of some generalisations of the conditional distribution in M-GARCH case. A copula M …
Persistent link: https://www.econbiz.de/10013007519
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Bayesian inference for latent factor copulas and application to financial risk forecasting
Schamberger, Benedikt; Gruber, Lutz F.; Czado, Claudia - In: Econometrics : open access journal 5 (2017) 2, pp. 1-23
develop Bayesian inference for a recently proposed latent factor copula model, which utilizes a pair copula construction to …
Persistent link: https://www.econbiz.de/10011654443
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Multivariate dependence analysis via tree copula models : an application to one-year forward energy contracts
Bassetti, Federico; De Giuli, Maria Elena; Nicolino, Enrica - In: European journal of operational research : EJOR 269 (2018) 3, pp. 1107-1121
Persistent link: https://www.econbiz.de/10011866878