Efficient maximum likelihood estimation of copula based meta t-distributions
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Balaev, Alexey, 2014. "The copula based on multivariate t-distribution with vector of degrees of freedom," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 90-110.
- Zhang, Kong-Sheng & Lin, Jin-Guan & Xu, Pei-Rong, 2016. "A new class of copulas involving geometric distribution: Estimation and applications," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 1-10.
More about this item
KeywordsCopula Inference for margins Maximum likelihood estimation Maximization by parts Meta-t distribution Rolling windows;
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