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Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model

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The effects of economic uncertainty on financial volatility : a comprehensive investigation

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Efficient estimation of copula-based semiparametric Markov models

Chen, Xiaohong; Wu, Wei Biao; Yi, Yanping - 2009

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