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...

This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized by nonparametric invariant distributions and parametric copula functions; where the copulas capture all scale-free temporal dependence and tail dependence of...