Copula-based semiparametric models for multivariate time series

Journal of Multivariate Analysis

Volumn 110, Issue , 2012, Pages 30-42

  Rémillard, Bruno ^a   Papageorgiou, Nicolas ^a   Soustra, Frédéric ^a  

^a BNP PARIBAS   (France)

Author keywords

Conditional copulas; Markov models; Pseudo likelihood; Ranks

Indexed keywords

EID: 84862006945     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2012.03.001     Document Type: Article

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