JOURNAL ARTICLE

Efficient Estimation of Copula-Based Semiparametric Markov Models

Xiaohong ChenWei Biao WuYanping Yi

Year: 2009 Journal:   SSRN Electronic Journal   Publisher: RELX Group (Netherlands)
Keywords:
Mathematics Copula (linguistics) Estimator Quantile Applied mathematics Parametric statistics Gumbel distribution Sieve (category theory) Markov chain Statistics Econometrics Combinatorics Extreme value theory

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55
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Citation History

Topics

Financial Risk and Volatility Modeling
Social Sciences →  Economics, Econometrics and Finance →  Finance
Bayesian Methods and Mixture Models
Physical Sciences →  Computer Science →  Artificial Intelligence
Statistical Methods and Inference
Physical Sciences →  Mathematics →  Statistics and Probability

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