Semiparametric estimation of conditional copulas

Journal of Multivariate Analysis

Volumn 110, Issue , 2012, Pages 43-73

  Abegaz, Fentaw ^a,b   Gijbels, Irène ^b   Veraverbeke, Noël ^c  

^a ADDIS ABABA UNIVERSITY   (Ethiopia)

^b Katholieke Universiteit Leuven   (Belgium)

^c HASSELT UNIVERSITY   (Belgium)

Author keywords

Asymptotic normality; Conditional copula; Consistency; Local polynomial fitting; Semiparametric estimation

Indexed keywords

EID: 84862132030     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2012.04.001     Document Type: Article

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