Modeling high-dimensional time-varying dependence using dynamic D-vine models-Reference-Cited by-同舟云学术

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Modeling high-dimensional time-varying dependence using dynamic D-vine models

Published:2016-06-13 Issue:5 Volume:32 Page:621-638
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl. Stochastic Models Bus. Ind.

Author:

Almeida Carlos¹,Czado Claudia²,Manner Hans³

Affiliation:

1. Departamento de Matemática, Facultad de Ciencias; Escuela Politécnica Nacional; Quito Ecuador

2. Department of Mathematical Statistics; Technische Univerität München; München Germany

3. Institute of Econometrics and Statistics; University of Cologne; Cologne Germany

Publisher

Wiley

Subject

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

Reference64 articles.

1. Multivariate GARCH models: a survey;Bauwens;Journal of Applied Econometrics,2006

2. Multivariate stochastic variance models;Harvey;Review of Economic Studies,1994

3. Multivariate stochastic volatility models: Bayesian estimation and model comparison;Yu;Econometric Reviews,2006

4. Copula–Based Models for Financial Time Series

5. Copula Methods in Finance

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