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multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine …
Persistent link: https://www.econbiz.de/10010335297
multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine …
Persistent link: https://www.econbiz.de/10010259914
multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine …
Persistent link: https://www.econbiz.de/10009651792
Persistent link: https://www.econbiz.de/10011619103
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The theory of conditional copulas provides a means of constructing flexible multivariate density models, allowing for … variables. Further, the use of copulas in constructing these models often allows for the partitioning of the parameter vector …
Persistent link: https://www.econbiz.de/10010817537
The serial dependency of multivariate nancial data will often be ltered by con-sidering the residuals of univariate GARCH models adapted to every single series.This is the correct ltering strategy if the multivariate process follows a so-calledcopula based multivariate dynamic model (CMD). These...
Persistent link: https://www.econbiz.de/10005866743
simulation study is then conducted to ascertain the performance of the estimation method. …
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Using copula methods and simulation-based inference, the authors investigate the association between the performance of …
Persistent link: https://www.econbiz.de/10010429997