Semiparametric estimation and variable selection for single‐index copula models-Reference-Cited by-同舟云学术

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Semiparametric estimation and variable selection for single‐index copula models

Published:2021-11 Issue:7 Volume:36 Page:962-988
ISSN:0883-7252
Container-title:Journal of Applied Econometrics
language:en
Short-container-title:J of Applied Econometrics

Author:

Yang Bingduo¹^ORCID,Hafner Christian M.²,Liu Guannan³,Long Wei⁴

Affiliation:

1. School of Finance Guangdong University of Finance and Economics Guangzhou China

2. Louvain Institute for Data Analysis and Modelling in Economics and Statistics Universite catholique de Louvain Louvain‐la‐Neuve Belgium

3. MOE Key Laboratory of Econometrics, School of Economics and Wang Yanan Institute for Studies in Economics Xiamen University Xiamen China

4. Department of Economics Tulane University New Orleans Louisiana USA

Funder

National Natural Science Foundation of China

Fundamental Research Funds for the Central Universities

Publisher

Wiley

Subject

Economics and Econometrics,Social Sciences (miscellaneous)

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/jae.2812

Reference39 articles.

1. Dependence Calibration in Conditional Copulas: A Nonparametric Approach

2. Statistical testing of covariate effects in conditional copula models

3. The Euro and European financial market dependence

4. Regular variation of GARCH processes

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Sparse M-estimators in semi-parametric copula models;Bernoulli;2024-08-01

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