Comparison of semiparametric and parametric methods for estimating copulas

Computational Statistics and Data Analysis

Volumn 51, Issue 6, 2007, Pages 2836-2850

  Kim, Gunky ^a   Silvapulle, Mervyn J ^a   Silvapulle, Paramsothy ^a  

^a MONASH UNIVERSITY   (Australia)

Author keywords

Canonical maximum likelihood; Dependence; Inference function for margins; Portfolio management; Pseudo maximum likelihood

Indexed keywords

COMPUTATIONAL METHODS; COMPUTER SIMULATION; DATA REDUCTION; MAXIMUM LIKELIHOOD ESTIMATION; PROBABILITY DISTRIBUTIONS; STATISTICAL METHODS;

CANONICAL MAXIMUM LIKELIHOOD; INFERENCE FUNCTION FOR MARGINS (IFM); PORTFOLIO MANAGEMENT; PSEUDO MAXIMUM LIKELIHOOD;

PARAMETER ESTIMATION;

EID: 33846635121     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.10.009     Document Type: Article

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