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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

Symmetrized multivariate k-NN estimators

Fan, Yanqin; Liu, Ruixuan - In: Econometric reviews 34 (2015) 6/10, pp. 828-848

Persistent link: https://www.econbiz.de/10011483390

Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models

Chen, Xiaohong - 2019

This paper considers estimation of semi-nonparametric GARCH ﬁltered copula models in which the individual time series are modelled by semi-nonparametric GARCH and the joint distributions of the multivariate standardized innovations are characterized by parametric copulas with nonparametric...

Persistent link: https://www.econbiz.de/10012857717

Statistics for copula-based measures of multivariate association : theory and applications to financial data

Gaißer, Sandra Caterina - 2011

Persistent link: https://www.econbiz.de/10009125241

Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models

Chen, Xiaohong; Huang, Zhuo; Yi, Yanping - 2019 - Revised October 2019

Persistent link: https://www.econbiz.de/10012153489

Nonparametric forecasting of multivariate probability density functions

Guégan, Dominique; Iacopini, Matteo - 2018

Persistent link: https://www.econbiz.de/10011868987

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

Copula-based orderings of multivariate dependence

Decancq, Koen - 2010

Persistent link: https://www.econbiz.de/10003969406

Copula-based orderings of multivariate dependence

Decancq, Koen - 2010

Persistent link: https://www.econbiz.de/10008648099

Mixed data kernel copulas

Racine, Jeffrey - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 37-59

Persistent link: https://www.econbiz.de/10011285976

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