HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE
HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE
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Publisher
New York, USA: Cambridge University Press
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Language
English
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Publisher
New York, USA: Cambridge University Press
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Scope and Contents
Contents
Understanding the time series dynamics of a multi-dimensional dependency structure is a challenging task. Multivariate covariance driven Gaussian or mixed normal time varying models have only a limited ability to capture important features of the data such as heavy tails, asymmetry, and nonlinear dependencies. The present paper tackles this problem...
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Full title
HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE
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Author / Creator
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Record Identifier
TN_cdi_proquest_journals_1712281053
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_1712281053
Other Identifiers
ISSN
0266-4666
E-ISSN
1469-4360
DOI
10.1017/S0266466614000607
