Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
نویسندگان
چکیده
منابع مشابه
Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models Under Copula Misspecification∗
Recently Chen and Fan (2003a) introduced a new class of semiparametric copula-based multivariate dynamic (SCOMDY) models. A SCOMDY model specifies the conditional mean and the conditional variance of a multivariate time series parametrically (such as VAR, GARCH), but specifies the multivariate distribution of the standardized innovation semiparametrically as a parametric copula evaluated at non...
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The authors extend to multivariate contexts the copula-based univariate time series modeling approach of Chen & Fan [X. Chen, Y. Fan, Estimation of copula-based semiparametric time series models, J. Econometrics 130 (2006) 307–335; X. Chen, Y. Fan, Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification, J. Econometrics 135 (2006) ...
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Outline Introduction Semi-parametric dynamic copula Motivation Local likelihood estimation Variance of the estimator Bias of the estimator Bandwidth selection Estimation of joint likelihood Modeling of marginal distributions Simulations and applications Simulations Empirical example Conclusions Problems and Solutions Problems Modeling dependence is critical for financial time series Model volat...
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This paper studies the estimation of a class of copula-based semiparametric stationary Markov models. These models are characterized by nonparametric marginal distributions and parametric copula functions, while the copulas capture all the scale-free temporal dependence of the processes. Simple estimators of the marginal distribution and the copula parameter are provided, and their asymptotic p...
متن کاملSimulated Method of Moments Estimation for Copula-Based Multivariate Models
This paper considers the estimation of the parameters of a copula via a simulated method of moments type approach. This approach is attractive when the likelihood of the copula model is not known in closed form, or when the researcher has a set of dependence measures or other functionals of the copula that are of particular interest. The proposed approach naturally also nests method of moments ...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2006
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2005.07.027