High dimensional dynamic stochastic copula models

Journal of Econometrics

Volumn 189, Issue 2, 2015, Pages 335-345

  Creal, Drew D ^a   Tsay, Ruey S ^a  

^a UNIVERSITY OF CHICAGO   (United States)

Author keywords

Bayesian estimation; Credit default swaps; Dynamic copulas; Particle filters; State space models

Indexed keywords

BAYESIAN NETWORKS; MONTE CARLO METHODS; STATE SPACE METHODS; STOCHASTIC SYSTEMS; STUDENTS;

BAYESIAN ESTIMATIONS; CREDIT DEFAULT SWAP; FLEXIBLE DYNAMICS; HIGH-DIMENSIONAL; PARTICLE FILTER; SEQUENTIAL MONTE CARLO METHODS; STATE - SPACE MODELS; STOCHASTIC LOADING;

STOCHASTIC MODELS;

EID: 84945462616     PISSN: 03044076     EISSN: 18726895     Source Type: Journal    
DOI: 10.1016/j.jeconom.2015.03.027     Document Type: Article

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