Flexible dynamic vine copula models for multivariate time series data
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DOI: 10.1016/j.ecosta.2019.03.002
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- Nguyen, Hoang & Ausín, M. Concepción & Galeano, Pedro, 2020.
"Variational inference for high dimensional structured factor copulas,"
Computational Statistics & Data Analysis, Elsevier, vol. 151(C).
- Nguyen, Hoang & Ausín Olivera, María Concepción & Galeano San Miguel, Pedro, 2018. "Variational Inference for high dimensional structured factor copulas," DES - Working Papers. Statistics and Econometrics. WS 27652, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Fuchs, Sebastian & Di Lascio, F. Marta L. & Durante, Fabrizio, 2021. "Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables," Computational Statistics & Data Analysis, Elsevier, vol. 159(C).
- So, Mike K.P. & Chan, Thomas W.C. & Chu, Amanda M.Y., 2022. "Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management," Journal of Econometrics, Elsevier, vol. 227(1), pages 151-167.
- Daniel Zängerle & Dirk Schiereck, 2023. "Modelling and predicting enterprise-level cyber risks in the context of sparse data availability," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 48(2), pages 434-462, April.
- Kajal Lahiri & Liu Yang, 2023. "Predicting binary outcomes based on the pair-copula construction," Empirical Economics, Springer, vol. 64(6), pages 3089-3119, June.
- Savinov, Evgeniy & Shamraeva, Victoria, 2023. "On a Rosenblatt-type transformation of multivariate copulas," Econometrics and Statistics, Elsevier, vol. 25(C), pages 39-48.
- Torres-Alves, Gina Alexandra & Morales-Nápoles, Oswaldo, 2020. "Reliability analysis of flood defenses: The case of the Nezahualcoyotl dike in the aztec city of Tenochtitlan," Reliability Engineering and System Safety, Elsevier, vol. 203(C).
- Zhu, Kailun & Kurowicka, Dorota, 2022. "Regular vines with strongly chordal pattern of (conditional) independence," Computational Statistics & Data Analysis, Elsevier, vol. 172(C).
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Keywords
Dynamic vines; Exchange rate dependence; Kendall’s tau; Local likelihood; Multivariate time series;All these keywords.
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