Mixed Density based Copula Likelihood
Download full text from publisher
References listed on IDEAS
- Creal, Drew & Koopman, Siem Jan & Lucas, AndrÃ©, 2011.
"A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 552-563.
- Drew Creal & Siem Jan Koopman & André Lucas, 2011. "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(4), pages 552-563, October.
- Drew Creal & Siem Jan Koopman & André Lucas, 2010. "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Tinbergen Institute Discussion Papers 10-032/2, Tinbergen Institute.
- Andrew Harvey & Alessandra Luati, 2014. "Filtering With Heavy Tails," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(507), pages 1112-1122, September.
- Murat K. Munkin & Pravin K. Trivedi, 1999. "Simulated maximum likelihood estimation of multivariate mixed-Poisson regression models, with application," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 29-48.
- André Lucas & Bernd Schwaab & Xin Zhang, 2014. "Conditional Euro Area Sovereign Default Risk," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 271-284, April.
- Michael Pitt & David Chan & Robert Kohn, 2006. "Efficient Bayesian inference for Gaussian copula regression models," Biometrika, Biometrika Trust, vol. 93(3), pages 537-554, September.
- Genest, Christian & NeÅ¡lehovÃ¡, Johanna, 2007. "A Primer on Copulas for Count Data," ASTIN Bulletin, Cambridge University Press, vol. 37(2), pages 475-515, November.
- Michael S. Smith & Mohamad A. Khaled, 2012. "Estimation of Copula Models With Discrete Margins via Bayesian Data Augmentation," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(497), pages 290-303, March.
- Andrew J. Patton, 2006. "Modelling Asymmetric Exchange Rate Dependence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 47(2), pages 527-556, May.
- Drew Creal & Siem Jan Koopman & André Lucas, 2013. "Generalized Autoregressive Score Models With Applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 777-795, August.
- Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 401-423, June.
More about this item
Keywordscopula; discrete data; time series;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tin:wpaper:20150003. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tinbergen Office +31 (0)10-4088900). General contact details of provider: http://edirc.repec.org/data/tinbenl.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.