Comparison of semiparametric and parametric methods for estimating copulas
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- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- Joe, Harry, 2005. "Asymptotic efficiency of the two-stage estimation method for copula-based models," Journal of Multivariate Analysis, Elsevier, vol. 94(2), pages 401-419, June.
- Timo Terasvirta & Clive W.J Granger & Andrew Patton, 2003.
"Common factors in conditional distributions for Bivariate time series,"
FMG Discussion Papers
dp455, Financial Markets Group.
- Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J., 2006. "Common factors in conditional distributions for bivariate time series," Journal of Econometrics, Elsevier, vol. 132(1), pages 43-57, May.
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- Christian Genest & Jean-François Quessy & Bruno Rémillard, 2006. "Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 337-366.
- Bauwens, Luc & Laurent, Sebastien, 2005.
"A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 23, pages 346-354, July.
- Tom Doan, . "LOGMVSKEWT: RATS procedure to compute function for log density of multivariate skew-t distribution," Statistical Software Components RTS00107, Boston College Department of Economics.
- BAUWENS, Luc & LAURENT, Sébastien, . "A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models," CORE Discussion Papers RP 1793, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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