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Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification

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Author Info
Chen, Xiaohong
Fan, Yanqin
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 135 (2006)
Issue (Month): 1-2 ()
Pages: 125-154
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Handle: RePEc:eee:econom:v:135:y:2006:i:1-2:p:125-154

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  1. Xiaohong Chen & Yanqin Fan & Demian Pouzo & Zhiliang Ying, 2008. "Estimation and Model Selection of Semiparametric Multivariate Survival Functions under General Censorship," Cowles Foundation Discussion Papers 1683, Cowles Foundation, Yale University. [Downloadable!]
  2. Andrew J. Patton, 2008. "Copula-Based Models for Financial Time Series," OFRC Working Papers Series 2008fe21, Oxford Financial Research Centre. [Downloadable!]
  3. Gunky Kim & Mervyn J. Silvapulle & Paramsothy Silvapulle, 2007. "Estimating the Error Distribution in the Multivariate Heteroscedastic Time Series Models," Monash Econometrics and Business Statistics Working Papers 8/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  4. Chollete, Loran & Ning, Cathy, 2009. "The Dependence Structure of Macroeconomic Variables in the US," UiS Working Papers in Economics and Finance 2009/31, University of Stavanger. [Downloadable!]
  5. Manner, Hans & Candelon, Bertrand, 2007. "Testing for Asset Market Linkages: A new Approach based on Time-Varying Copulas," Research Memoranda 052, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
  6. Hafner, Christian M. & Manner, Hans, 2008. "Dynamic stochastic copula models: Estimation, inference and applications," Research Memoranda 043, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
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