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Conditions for the asymptotic semiparametric efficiency of an omnibus estimator of dependence parameters in copula models

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  • Genest, C.
  • Werker, B.J.M.

    (Tilburg University, School of Economics and Management)

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  • Genest, C. & Werker, B.J.M., 2001. "Conditions for the asymptotic semiparametric efficiency of an omnibus estimator of dependence parameters in copula models," Other publications TiSEM b733c3f4-38d2-49aa-a2c7-4, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:b733c3f4-38d2-49aa-a2c7-4f9bb6f7512d
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/429687/werker_conditions.pdf
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    References listed on IDEAS

    as
    1. Klugman, Stuart A. & Parsa, Rahul, 1999. "Fitting bivariate loss distributions with copulas," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 139-148, March.
    2. Capéraà, Philippe & Fougères, Anne-Laure & Genest, Christian, 2000. "Bivariate Distributions with Given Extreme Value Attractor," Journal of Multivariate Analysis, Elsevier, vol. 72(1), pages 30-49, January.
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    Cited by:

    1. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
    2. Xiaohong Chen & Wei Biao Wu Wu & Yanping Yi, 2009. "Efficient estimation of copula-based semiparametric Markov models," CeMMAP working papers CWP06/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

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