Efficient MCMC estimation of some elliptical copula regression models through scale mixtures of normals-Reference-Cited by-同舟云学术

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Efficient MCMC estimation of some elliptical copula regression models through scale mixtures of normals

Published:2018-09-24 Issue:3 Volume:35 Page:808-822
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl Stochastic Models Bus Ind

Author:

Wichitaksorn Nuttanan¹²³,Gerlach Richard⁴,Choy S.T. Boris⁴

Affiliation:

1. Mathematical Sciences DepartmentAuckland University of Technology Auckland 1010 New Zealand

2. School of Mathematics and StatisticsUniversity of Canterbury Christchurch 8140 New Zealand

3. Thailand Development Research Institute Bangkok 10310 Thailand

4. Discipline of Business AnalyticsUniversity of Sydney Sydney New South Wales 2006 Australia

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/asmb.2410

Reference50 articles.

1. Fonctions de repartition a n dimensions et leurs marges;Sklar A;Publ l'Institut Stat l'Université Paris,1959

2. Understanding Relationships Using Copulas

3. Risk Management: Value at Risk and Beyond 2003 Cambridge University Press New York NY P Embrechts A McNeil D Straumann MAH Dempster Correlation and dependence in risk management: properties and pitfalls 176 223

4. On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation

5. Copula–Based Models for Financial Time Series

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