Estimation of Copula-Based Semiparametric Time Series Models
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References listed on IDEAS
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KeywordsCopula; beta-mixing; semiparametric estimation; parametric bootstrap;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-02-06 (All new papers)
- NEP-ECM-2005-02-06 (Econometrics)
- NEP-ETS-2005-02-06 (Econometric Time Series)
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