Efficient estimation of a semiparametric dynamic copula model

Computational Statistics and Data Analysis

Volumn 54, Issue 11, 2010, Pages 2609-2627

  Hafner, Christian M ^a   Reznikova, Olga ^a  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

Dynamic copula; Efficiency; Local likelihood; Semiparametric estimation

Indexed keywords

BANDWIDTH SELECTIONS; BIAS AND VARIANCE; CONDITIONAL CORRELATION; EFFICIENT ESTIMATION; ESTIMATION METHODS; FINANCIAL TIME SERIES; LOCAL LIKELIHOOD; LOCAL MAXIMUM LIKELIHOOD; MARGINALS; NON-PARAMETRIC; SEMI PARAMETRIC ESTIMATION; SEMIPARAMETRIC; SEMIPARAMETRIC EFFICIENCY; TWO STAGE;

ESTIMATION; FINANCIAL DATA PROCESSING; TIME SERIES;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 77955272833     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2010.01.013     Document Type: Article

References (30)

1. L. Bauwens, S. Laurent, and J. Rombouts Multivariate GARCH models: A survey Journal of Applied Econometrics 21 2006 79 109
2. P.J. Bickel, C.A.J. Klaassen, Y. Ritov, and J.A. Wellner Efficient and Adaptive Estimation for Semiparametric Models 1993 Springer New York
3. T.C. Chiang, B.N. Jeon, and H. Li Dynamic correlation analysis of financial contagion: Evidence from Asian markets Journal of International Money and Finance 26 2007 1206 1228
4. R. Dahlhaus On the KullbackLeibler information divergence for locally stationary processes Stochastic Processes and their Applications 62 1996 139 168 (Pubitemid 126161994)
5. A. Dias, and P. Embrechts Change-point analysis for dependence structures in finance and insurance G. Szegoe, Risk Measures for the 21st Century Wiley Finance Series 2004 321 335
6. J. Dobri, and F. Schmid A goodness of fit test for copulas based on Rosenblatts transformation Computational Statistics & Data Analysis 51 2007 4633 4642
7. F.C. Drost, C.A.J. Klaassen, and B.J.M. Werker Adaptive estimation in time-series models The Annals of Statistics 25 1997 786 817
8. P. Embrechts, R. Frey, and A. McNeil Quantitative Risk Management: Concepts, Techniques, and Tools 2005 Princeton University Press
9. P. Embrechts, A. McNeil, and D. Straumann Correlation and dependence in risk management: Properties and pitfalls M.A.H. Dempster, Risk Management: Value at Risk and Beyond 2002 Cambridge University Press Cambridge 176 223
10. R.F. Engle Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models Journal of Business and Economic Statistics 20 2002 339 350
11. R.F. Engle, and S. Manganelli CAViaR: Conditional autoregressive Value-at-Risk by regression quantiles Journal of Business and Economic Statistics 22 2004 367 381
12. J. Fan, M. Farmen, and I. Gijbels Local maximum likelihood estimation and inference Journal of the Royal Statistical Society B 60 1998 591 608
13. J.-D. Fermanian, and O. Scaillet Some statistical pitfalls in copula modeling for financial applications Capital Formation, Governance and Banking 2005 Nova Science Publishers 57 72
14. V. Fernandez The impact of major global events on volatility shifts: Evidence from the Asian crisis and 9/11 Economic Systems 30 2006 79 97
15. Ch. Genest, and A.-C. Favre Everything you always wanted to know about copula modeling but were afraid to ask Journal of Hydrologic Engineering 12 2007 347 368
16. C.M. Hafner, D.J. van Dijk, and Ph.H. Franses Semiparametric modelling of correlation dynamics T. Fomby, C. Hill, Advances in Econometrics vol. 20 2006 59 103 Part A
17. Joe, H., Xu, J.J., 1996. The estimation method of inference functions for margins for multivariate models. Department of Statistics, University of British Columbia.
18. E. Jondeau, and M. Rockinger The CopulaGARCH model of conditional dependencies: An international stock market application Journal of International Money and Finance 25 2006 827 853
19. Y. Liu, and R. Luger Efficient estimation of copulaGARCH models Computational Statistics and Data Analysis 53 2009 2284 2297
20. F. Longin, and B. Solnik Is the correlation in international equity returns constant: 19601990? Journal of International Money and Finance 14 1995 3 26
21. Manner, H., Reznikova, O., 2009. Time-varying copulas: A survey. Technical report, Institute of Statistics, Universit Catholique de Louvain.
22. Mashal, R., Zeevi, A., 2002. Beyond correlation: Extreme co-movements between financial assets. Mimeo. (Columbia Business School, Columbia University, NewYork).
23. R.B. Nelsen An Introduction to Copulas 1999 Springer New York
24. A.J. Patton Modelling asymmetric exchange rate dependence International Economic Review 47 2006 527 556
25. A.J. Patton Estimation of multivariate models for time series of possibly different lengths Journal of Applied Econometrics 21 2006 147 173
26. D.M. Rey Time-varying stock market correlations and correlation breakdown Financial Markets and Portfolio Management 14 2000 387 412
27. J.H. Shih, and T.A. Louis Inferences on the association parameter in copula models for bivariate survival data Biometrics 51 1995 1384 1399
28. A. Sklar Fonctions de rpartition n dimensions et leurs marges Publications de l'Institut de Statistique de L'Universit de Paris 8 1959 229 231
29. B. Solnik, C. Bourcrelle, and Y. Le Fur International market correlation and volatility Financial Analysts Journal 52 1996 17 34
30. P.X.-K. Song, Y. Fan, and J.D. Kalbfleisch Maximization by parts in likelihood inference Journal of the American Statistical Association 100 2005 1145 1158