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Bayesian nonparametric conditional Copula estimation of twin data
Dalla Valle, Luciana; Leisen, Fabrizio; Rossini, Luca - 2016
Persistent link: https://www.econbiz.de/10011639374
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Quantile selection models : with an application to understanding changes in wage inequality
Arellano, Manuel; Bonhomme, Stéphane - 2015
We propose a method to correct for sample selection in quantile regression models. Selection is modelled via the cumulative distribution function, or copula, of the percentile error in the outcome equation and the error in the participation decision. Copula parameters are estimated by minimizing...
Persistent link: https://www.econbiz.de/10011405705
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A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection
Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Tong, Yongbo - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012659611
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Quantile selection models with an application to understanding changes in wage inequality
Arellano, Manuel; Bonhomme, Stéphane - 2016
Persistent link: https://www.econbiz.de/10011654578
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Quantile selection models with an application to understanding changes in wage inequality
Arellano, Manuel; Bonhomme, Stéphane - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10011738445
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High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
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On the structure of financial contagion : econometric tests and Mercocur evidence
Viale, Ariel M.; Bessler, David A.; Kolari, James W. - In: Journal of applied economics 17 (2014) 2, pp. 373-400
Persistent link: https://www.econbiz.de/10011554835
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A non-linear forecast combination procedure for binary outcomes
Lahiri, Kajal; Yang, Liu - 2015
We develop a non-linear forecast combination rule based on copulas that incorporate the dynamic interaction between individual predictors. This approach is optimal in the sense that the resulting combined forecast produces the highest discriminatory power as measured by the receiver operating...
Persistent link: https://www.econbiz.de/10010475341
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Bayesian inference for a semi-parametric copula-based Markov chain
Pitt, Mike; Azam, Kazim - 2014
Persistent link: https://www.econbiz.de/10010465715
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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
couple the variables with the latent factor. We use adaptive rejection Metropolis sampling (ARMS) within Gibbs sampling for … posterior simulation: Gibbs sampling enables application to Bayesian problems, while ARMS is an adaptive strategy that replaces … of our proposed approach both in terms of sampling efficiency and accuracy. We provide an extensive application example …
Persistent link: https://www.econbiz.de/10011654443