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Persistent link: https://www.econbiz.de/10003808786
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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...
Persistent link: https://www.econbiz.de/10003817253
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...
Persistent link: https://www.econbiz.de/10010288444